Fall 2017 ACTSC 613 Zhu, M

University of Waterloo
ACTSC 613

Problem of the Week, #9

( Distributed: November 17, 2017; Due: November 24, 2017 )

iid
1. Suppose X1 , X2 , ..., Xn ∼ Exponential(λ) with density function

f (x) = λe−λx , x > 0, λ > 0.

We’d like to make statistical inferences on the unknown parameter, λ.

(a) Find the likelihood ratio statistic, Λ, for testing

H 0 : λ = λ0 versus HA : λ 6= λ0 .

Show that the likelihood ratio test rejects H0 if X̄e−λ0 X̄ ≤ cα for some threshold cα
depending on the desired significance level α.
(b) Sketch a plot of the function g(x) = xe−λ0 x for x > 0, assuming, for example, that
λ0 = 1. Does the likelihood ratio test reject H0 if X̄ is large or small?
(c) Let Z ≡ X̄e−λ0 X̄ . To choose the threshold cα exactly, you need to know the distribution
of Z. Write down the integral that you must evaluate in order to find F (z) ≡ P (Z ≤ z),
without actually evaluating it. [Remark: Fortunately, we need not care too much about
the exact distribution of X̄e−λ0 X̄ , because we know the asymptotic distribution of 2 log Λ.]
(d) For n = 30, X̄ = 1, rely on the quantity 2 log Λ and the fact that

P(χ2(1) > 2.71) = 0.10

to construct a 90%-confidence interval for λ. [Hint: First, make a plot of 2 log Λ versus
λ near λ = λbmle .]
(e) Compare the confidence interval you obtained above with the one you obtained from the
previous assignment. Briefly comment on the relative quality of the two.

1 of 1