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MA40189 - Question Sheet Five

Simon Shaw,

2017/18 Semester II

Set: Problems class, Monday 19th March 2018.

Due in: Problems class, Monday 9th April 2018. If you are unable to make the problems
class you should hand it in to me either in lectures or my office, 4W4.10.
Task: Attempt questions 1-2; questions 3 and 4 are extra questions which may be discussed
in the problems class.
1. Let X1 , . . . , Xn be exchangeable so that the Xi are conditionally independent given a
parameter θ. For each of the following distributions for Xi | θ find the Jeffreys prior
and the corresponding posterior distribution for θ.
(a) Xi | θ ∼ Bern(θ).
(b) Xi | θ ∼ P o(θ).
(c) Xi | θ ∼ M axwell(θ), the Maxwell distribution with parameter θ so that
2 3
f (xi | θ) = θ 2 xi exp − , xi > 0
π 2
and E(Xi | θ) = 2 πθ , V ar(Xi | θ) = 3π−8
πθ .

2. Let X1 , . . . , Xn be exchangeable so that the Xi are conditionally independent given

a parameter λ. Suppose that Xi | λ ∼ Exp(λ) where λ represents the rate so that
E(Xi | λ) = λ−1 .
(a) Show that Xi | λ ∼ Exp(λ) is a member of the 1-parameter exponential family.
Hence, write down a sufficient statistic t(X) for X = (X1 , . . . , Xn ) for learning
about λ.
(b) Find the Jeffreys prior and comment upon whether or not it is improper. Find
the posterior distribution for this prior.
(c) Consider the transformation φ = log λ.
i. By expressing L(λ) = f (x | λ) as L(φ) find the Jeffreys prior for φ.
ii. By transforming the distribution of the Jeffreys prior for λ, f (λ), find the
distribution of φ. [This should yield the same answer as the previous part
and is an illustration of the invariance to reparameterisation of the Jeffreys
3. The Jeffreys prior for Normal distributions. In Lecture 13 we will show that for an
exchangeable collection X = (X1 , . . . , Xn ) with Xi | θ ∼ N (θ, σ 2 ) where σ 2 is known
the Jeffreys prior for θ is f (θ) ∝ 1.

(a) Consider, instead, that Xi | θ ∼ N (µ, θ) where µ is known. Find the Jeffreys prior
for θ.
(b) Now suppose that Xi | θ ∼ N (µ, σ 2 ) where θ = (µ, σ 2 ). Find the Jeffreys prior for
(c) Comment upon your answers for these three Normal cases.
4. Consider, given θ, a sequence of independent Bernoulli trials with parameter θ. We
wish to make inferences about θ and consider two possible methods. In the first, we
carry out n trials and let X denote the total number of successes in these trials. Thus,
X | θ ∼ Bin(n, θ) with
fX (x | θ) = θx (1 − θ)n−x , x = 0, 1, . . . , n.

In the second method, we count the total number Y of trials up to and including the
rth success so that Y | θ ∼ N bin(r, θ), the negative binomial distribution, with
fY (y | θ) = θr (1 − θ)y−r , y = r, r + 1, . . . .

(a) Obtain the Jeffreys prior distribution for each of the two methods. You may find
it useful to note that E(Y | θ) = θr .
(b) Suppose we observe x = r and y = n. For each method, calculate the posterior
distribution for θ with the Jeffreys prior. Comment upon your answers.