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

2017/18 Semester II

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

12

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 .

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.

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

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.

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