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Feb 14, 2019

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(p.456: 9.19)

Let Y1, Y2, ..., Yn denote a random sample from the probability function

y 1 , 0 y 1,

f ( y)

0, elsewhere,

where θ > 0. Show that Y is a consistent estimator of θ/(θ+1).

Solution:

First, we know that Yi ~Beta(θ, 1). Thus E( Y ) = E(Yi) = θ/(θ+1) and V( Y ) = V(Yi)/n =

θ/[n(θ+2)(θ+1)2] → 0, as n → ∞. So Y is a consistent estimator of θ/(θ+1).

(p.456: 9.20)

If Y has binomial distribution with n trials and success probability p, show that Y/n is a

consistent estimator of p.

Solution:

Since E(Y) = np and V(Y) = npq, we have that E(Y/n) = p and V(Y/n) = pq/n. Thus, Y/n is

consistent since it is unbiased and its variance goes to 0 with n.

(p.457: 9.28)

Let Y1, Y2, ..., Yn denote a random sample of size n from a Pareto distribution. Then the

methods of Section 6.7 imply that Y(1) = min(Y1, Y2, ..., Yn) has the distribution function given

by

0, y ,

F(1) ( y ) n

1 ( / y ) , y .

Use the method described in Exercise 9.26 to show that Y(1) is a consistent estimator of β.

Solution:

P( |Y(1) - β | ≤ ε) = P(β - ε ≤ Y(1) ≤ β + ε) = F(1)(β + ε) - F(1)(β - ε) = 1 - [β/(β + ε)]αn. Since

limn→∞1 - [β/(β + ε)]αn = 1 for every ε > 0, Y(1) is consistent.

(p.458: 9.36)

Suppose that Y has binomial distribution based on n trials and success probability p. Then

pˆ n Y / n is an unbiased estimator of p. Use Theorem 9.3 to prove that the distribution of

( pˆ n p ) / pˆ n qˆ n / n converges to a standard normal distribution.

Solution:

Let X1, X2, ..., Xn be a sequence of Bernoulli trials with success probability p. Thus it is seen that

Y i 1 X i . Thus, by CLT,

n

pˆ n p

Un pq / n

d

N (0,1) .

In Exercise 9.20, we showed that pˆ n Y / n is consistent for p, similarly, we can show that

pˆ n qˆ n

Wn pq .

pˆ n p

Un

Wn pq / n

pˆ n qˆn

( pˆ n p ) / pˆ n qˆ n / n

d

N (0,1)

pq

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