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MA40189 - Question Sheet Five

Simon Shaw, s.shaw@bath.ac.uk


http://people.bath.ac.uk/masss/ma40189.html

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
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θx2i
 
2 3
2
f (xi | θ) = θ 2 xi exp − , xi > 0
π 2
q
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
prior.]
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.

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(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
θ.
(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
 
n
fX (x | θ) = θx (1 − θ)n−x , x = 0, 1, . . . , n.
x

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
 
y−1
fY (y | θ) = θr (1 − θ)y−r , y = r, r + 1, . . . .
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.