Mathematical Statistics, homework 5

The homework sheets have to be handed in by November 21 (but prefere-

ably in the beginning of the lecture on the 19th of November). If you do not
know how to tackle the problems or if you have questions about the lecture, feel
free to make an appointment with Botond Szabo (b.t.szabo@math.lidenuniv.nl)
or just simply send an email with the question.

Exercise 1. Consider the space of piecewise constant functions

n
X
fβ (t) = βk 1t≤k/n .
k=1

Recall the nonparametric regression model, where we observe Y = (Y1n , ..., Ynn )
with
iid
Yin = fβ (i/n) + εi,n , εin ∼ N (0, 1), i = 1, ..., n.

i) Show that this model can be written as a high-dimensional regression model

Y = Xβ + ε with X = (1i≤j )i,j=1,...,n .

ii) Show that X T X = i ∧ j)i,j=1,...,n .

Exercise 2. Prove that for ζ ∼ N (0, 1), Φ the c.d.f. of ζ, φ = Φ0 and

u ≥ 0,


i) E |ζ|1|ζ|≥u = 2φ(u),
ii) E ζ 2 1|ζ|≥u = 2uφ(u) + 2Φ(−u).

Exercise 3. Use integration by parts to prove Mill’s ratio

h 1  i ψ(τ )
P (X ≥ τ ) ≤ E 1 + 2 1X≥τ = ,
X τ
with X ∼ N (0, 1) and ψ the p.d.f. of X.