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- Properties of Sampling Distribution of Sample Mean
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You are on page 1of 10

01

Spring 2018

Quiz 4 (Take Home)

Due: April 18th, 2018

That is,

x 1

P (X1 = x) = (1 )

for x = 1; 2; 3; 4; :::

P

n

xi n

n

f (x1 ; x2 ; :::; xn ; ) = (1 )i=1

Pn

xi n

= (1 )i=1

1

P

n

=u xi ; h (x1 ; x2 ; :::; xn )

i=1

where

P

n

xi n

P

n

u xi ; = (1 )i=1

i=1 1

and

h (x1 ; x2 ; :::; xn ) = 1

n

X

T (X1 ; X2 ; :::; Xn ) = Xi is su¢ cient by the Factorization Theorem. And

i=1

we can write the probability mass function like

= exp x ln (1 ) + ln

1

n

X

From this, we can see that T (X1 ; X2 ; :::; Xn ) = Xi is complete.

i=1

n

X d

We know that Xi = nb (n; ). So if n 2,

i=1

1

0 1

B C

B 1 C

EB

BXn

C

C

@ A

Xi 1

i=1

1

X 1 k 1 n k n

= (1 )

k 1 n 1

k=n

1

X (k 1) 1 n 1 (k 1) (n 1)

= (1 )

n 1 (n 1) 1

k=n

X1

l 1 n 1 l (n 1)

= (1 )

n 1 (n 1) 1

l=n 1

=

n 1

n

X

Since Xi is complete and su¢ cient, the MVUE is

i=1

b= n 1

n

X

Xi 1

i=1

Can you calculate the variance of the MVUE, and can you …nd the Cramer

Rao Lower Bound an unbiased estimator of ? All moments exist (as long as

n 2) due to

1 1

Xn

n 1

Xi 1

i=1

with probability one. So the variance should exist even for n = 2 unlike the

exponential distribution where we had to start at n = 3.

2. Let X1 ; X2 ; ::::; X2n 1 be iid N ( ; 1), where 2 R (n 1). Note this is

an odd number of random variables.

2n

!

X1

b. Determine E X(n) j Xi .

i=1

2

The joint density is

2n 1

!

2n 1 1X 2

f (x1 ; x2 ; ::; x2n 1; ) = (2 ) 2

exp (xi )

2 i=1

2n 1 2n

!

2n 1 1X 2 X1 2n 1 2

= (2 ) 2

exp x + xi

2 i=1 i i=1

2

2n

!

X1

=u xi ; h (x1 ; ::; xn )

i=1

where ! !

2n

X1 2n

X1 2n 1 2

u xi ; = exp xi

i=1 i=1

2

and !

2n 1

2n 1 1X 2

h (x1 ; ::; xn ) = (2 ) 2

exp x

2 i=1 i

2n

X1

That shows Xi is su¢ cient for . We can write the density of X1 as

i=1

1 x2 2

f (x; ) = (2 ) 2

exp + x

2 2

2 2

x 1

= exp + x ln (2 )

2 2 2

This shows that the density is in the exponential class, which implies that

2n

X1

Xi is also complete. Further

i=1

E X =

and by part (a),

2n

!!

X1

E E X(n) j Xi = E X(n) =

i=1

2n

!

X1 2n

X1

Both X and E X(n) j Xi are functions of Xi , and both are unbi-

i=1 i=1

2n

X1

ased for . By completeness of Xi ,

i=1

2n

! !

X1

P E X(n) j Xi =X =1

i=1

3

for all . In other words,

2n

!

X1

E X(n) j Xi =X

i=1

where c is some constant. Find the MVUE for .

n

X

We’ve previously shown (in Problem 2) that Xi is su¢ cient and complete

i=1

for , so that means that X is also su¢ cient and complete for . Note that

So Ifx:x cg (X1 ) is an unbiased estimator of . Observe that since for every

(c1 ; c2 ) 2 R2 ,

n

c2 c2 X

c1 X1 + c2 X = c1 + X1 + Xi

n n i=2

is normally distributed, since it’s a linear combination of independent normal

random variables. That shows that X1 ; X has a bivariate normal distribution

with parameters

2

X1 =1

2 1

X

=

n

X1 = X =

Cov X1 ; X p

= = nCov X1 ; X

p1

n

And

2

Cov X1 ; X = E X1 X

2

1+ n 1 2 2

= +

n n

1

=

n

So

1

=p

n

4

From a known theorem (See auxillary notes for proof.) on the bivariate

distribution, it follows that given X = t, X1 has a normal distribution with

mean

X1

X1 + (t X)

X

= +t

=t

and variance

2 2 n 1

X1 1 =

n

So therefore

E Ifx:x cg (X1 ) jX = t

= P X1 cjX = t

0 1

X1 t c t

= P @q q jX = tA

n 1 n 1

n n

r

n

= (c t)

n 1

By the Rao-Blackwell and Lehmann Sche¤e Theorems, the MVUE for is

r

n

b= c X

n 1

4. Let X1 ; X2 ; :::; Xn be iid N ( 1 ; 2) random variables, where 1 2 R and

2 > 0 (both unknown).

!

2

1 (x 1)

f (x; 1; 2) = (2 2)

2

exp

2 2

2 2

x 1 1 1

= exp + x ln (2 2)

2 2 2 2 2 2

From this, one can see by inspection that this is in the two parameter expo-

nential class. That implies

n

X n

X

T1 = Xi ; T2 = Xi2

i=1 i=1

5

are jointly su¢ cient for ( 1 ; 2) and complete. Now consider this transfor-

mation.

T1

V1 = X =

n

T12

T2 2 n

V2 = S =

n 1

This is a one-to-one transformation because we can solve for (T1 ; T2 ). By

a theorem we discussed in class, it follows that X; S 2 are also su¢ cient and

complete for ( 1 ; 2 ). This pair is more useful for part (b) than the …rst suggested

pair.

p

b. Using (a), …nd the MVUE for 1 2.

(n 1) S 2 d 2 d n 1

= n 1 = Gamma ;2

2 2

We need to …nd E (S). (And we’ve done this exercise before in Chapter 8.)

(n 1) S 2

t=

2

p

2 p

S=p t

n 1

r Z1 n2 1 t

2 t exp 2

E (S) = n 1 dt

n 1 2 2

n 1

0 2

r n n Z1 n2 1 t

2 22 2 t exp 2

= n n dt

n 1 2 n2 1 n 1 22 2

2 0

r

2 n p

2

= n 1 2

n 1 2

So by independence,

r !

n 1 n 1 p

2

E X n S = 1 2

2 2

Since r n 1

n 1 2

X n S

2 2

6

p

is a function of X; S 2 , and it’s unbiased, it must be the MVUE for 1 2.

(

1 (x )

exp x

f (x; ) =

0 x<

a. Find joint su¢ cient and complete statistics for ( ; ).

n

!

n 1X n

f (x1 ; x2 ; :::; xn ; ; ) = exp xi + Ifx:x g x(1)

i=1

n

!

X

= u x(1) ; xi ; ; h (x1 ; x2 ; :::; xn )

i=1

where

n

! n

!

X 1X n

n

u x(1) ; xi ; ; = exp xi + Ifx:x g x(1)

i=1 i=1

and

h (x1 ; x2 ; :::; xn ) = 1

n

!

X

So X(1) ; Xi are jointly su¢ cient for ( ; ). To show completeness,

i=1

consider the one-to-one transformation

V1 = nX(1)

and

n

X n

X1

V2 = Xi nX(1) = (n j) X(j+1) X(j)

i=1 j=1

n

!

X

If we can show (V1 ; V2 ) is complete, then it follows that X(1) ; Xi is

i=1

also complete. Now by the independent spacings theorem,

d

(n j) X(j+1) X(j) = exp ( )

Therefore,

d

V2 = Gamma (n 1; )

We also know (from the same theorem) that

7

d

n X(1) = exp ( )

So

P nX(1) v1 = P n X(1) v1 n

v1 n

=1 exp

and

1 v1 n

gV1 (v1 ) = exp

1 v1 n v2n 2

exp v2

1 v1 n v2n 2

exp v2

= n

exp

(n 1)

all 2 R and all > 0,

E (h (V1 ; V2 )) = 0

Written in terms of a double integral, this is

Z1Z1 v2n 2

exp v2

1 v1 n

h (v1 ; v2 ) n exp dv2 dv1 = 0

(n 1)

n 0

or

Z1Z1

v1 v2

h (v1 ; v2 ) exp v2n 2

exp dv2 dv1 = 0

n 0

with respect to we have

Z1

n v2

n h (n ; v2 ) exp v2n 2

exp dv2 = 0

0

or

Z1

v2

h (n ; v2 ) v2n 2

exp dv2 = 0

0

8

or

Z1 v2n 2 exp v2

h (n ; v2 ) n 1 dv2 = 0

(n 1)

0

n

!!

X1

E h n ; Xi =0

i=1

n

X1

for all > 0. But since the density of X1 is in the exponential class, Xi

i=1

is complete over its range of densities indexed by > 0. So therefore

n

! !

X1

P h n ; Xi = 0 = 1

i=1

h (n ; v2 ) = 0

for all v2 > 0. Since this argument worked for any 2 R, it follows that

h (v1 ; v2 ) = 0

for v1 2 R and v2 > 0. Putting this all together, we can conclude that

P (h (V1 ; V2 ) = 0) = 1

for all 2 R and > 0, and

! thus we have that (V1 ; V2 ) are complete. In

n

X

turn, this means X(1) ; Xi are complete, since it’s a function of (V1 ; V2 )

i=1

(one-to-one correspondence).

E X(1) =

n

E X(1) = +

n

E X = +

Multiply the top equation by negative one and add to obtain

n 1

E X E X(1) =

n

9

So the MVUE for is

b= n n

X X(1)

n 1 n 1

Now multiply the top equation by n to obtain

E X nE X(1) = (n 1)

b= n 1

X(1) X

n 1 n 1

10

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