F79SM STATISTICAL METHODS RJG

TUTORIAL ON §7 ESTIMATION

1. Let X = (X1, X2, …, Xn) be a random sample of a gamma r.v. X with pdf
1
f ( x) = x exp ( − x / θ ) , x > 0 .
θ2
(a) Show that the MME θɶ is X / 2 .
(b) Find expressions for the score function U(θ) and Fisher’s information function I(θ).
(c) Find the MLE θˆ for θ. Show that it is unbiased and find the MSE of the estimator. Show that it attains
the C-R lower bound and state its asymptotic distribution.
(d) Consider estimators of the form aX for some constant a. Show that the value of a for which
MSE  aX  is minimised is a = n/(2n + 1).
(e) Compare the MSE of the MLE with that of the optimum estimator found in part (d) for the three
sample sizes n = 1, 5, and 100 respectively, and comment briefly.

2. The lifetime of a certain type of lightbulb is distributed as an exponential r.v. with parameter λ (mean 1/ λ).
A random sample of n bulbs is put on test, and testing is stopped after a predetermined time t0, by which
time it is noted that x of the n bulbs have failed. Find the MME and MLE of λ.

3. The number of claims made by each policyholder in a certain class of insurance business is thought to
follow a Poisson(λ) distribution. A sample of n such policyholders was found to contain exactly x who had
made one or more claims. Find the MLE of λ.
Suppose now that you discover that of the x policies on which claims were made, there were m with exactly
one claim and x − m with exactly two claims. Find the revised MLE of λ.

4. Consider the following model for the number of errors which arise, Y, in the electronic transmission of a
message of x characters: Y ~ Poisson(λx). Suppose we have available independent observations
Y1, Y2, … Yn for messages of lengths x1, x2, … , xn respectively.

(a) Show that the ordinary least squares estimator of λ is λ * = ∑ xiYi . Verify that λ * is unbiased, with
2
∑x i

variance V  λ *  = λ∑ x 3
i .
 
(∑ x )
i
2 2

(b) Find λ̂ , the MLE of λ, and find V λˆ  .

 

5. In each of the following situations use the information given to obtain one or more estimates of θ, stating
which method(s) of estimation you are using.
(a) A six-sided die has unknown probability θ of landing showing “6” up. The die was thrown repeatedly
until a “6” showed up and this process was repeated ten times in all. The numbers of throws required
were, respectively, 4, 7, 1, 5, 2, 4, 6, 8, 1, and 3.
(b) The lengths of certain mass-produced items are modelled as constituting a random sample from a
normal distribution with unknown mean θ. A sample of 100 items had a total length of 429.61cm.
(c) The strength of a signal recorded on a meter is modelled as having a uniform distribution on the
interval (0, θ). The maximum possible strength (θ) is unknown. A series of ten independent recorded
values were as follows: 2.1, 1.7, 1.9, 3.4, 0.9, 2.2, 0.8, 1.3, 2.0, 0.4 .

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6. Recall the model in Ex7.13: Yi = N(βxi ,σ2). By finding E Yi 2  and E  βˆ 2  , verify that
 
1
( ) is unbiased for σ2.
2
σˆ 2 =
n −1
∑ Yi − βˆ xi
n
7. Random sample, size n, from X ~ N(µ ,σ2). Consider estimators of σ2 of the form h( X ) = a ∑ ( X i − X )
2

i =1
Find the “a” for which the MSE of such an estimator is minimised, and comment.
8. Random sample, size n, from X with pdf f ( x ) = θ / xθ +1 , x > 1 (θ > 1).
(a) Find the MME of θ.
(b) Find the MLE of θ, its estimated standard error, and state its asymptotic distribution.
(c) Calculate the two estimates of θ for a sample for which n = 100, Σxi = 123.42, and Σlog xi = 19.173.

9. Suppose you want to calculate the area A of a circular object, and you can make two independent
measurements R1 and R2 of the radius r. The measurements can be regarded as being observations of i.i.d.
N(r,σ2) r.vs. Determine the bias (if any) of each of the following three estimators of A:

 R + R2   R 2 + R2 2 
2

(a ) π  1  ( b) π  1  ( c ) π R1 R2 .
 2   2 

( )
10. Let X 1 be the mean of a random sample of size n from a N µ , σ 12 r.v., and let X 2 be the mean of an

independent random sample of size n from a N µ , σ 22 r.v. ( )

(a) Show that µ = wX 1 + (1 − w ) X 2 , where 0 < w < 1, is unbiased for µ.
*

(b) Show that V  µ *  is minimised in the case ω = σ 22 / σ 12 + σ 22 . ( )

(c) Find the efficiency of the estimator in (a) with w = ½ relative to that of the estimator in (b).

11. The marketing department of an insurance company surveys members of the investing public to find out
which of four options is their preferred first choice for their next investment of personal money.
The options are
A: money on deposit − no risk B: equity investment − low risk
C: equity investment − medium risk D: equity investment − high risk.
It is believed that a suitable model would be that these occur in the proportions
θ : θ(1 − θ) : θ(1 − θ)2 : (1 − θ)3 (for A : B : C : D) .
(a) Show that the maximum likelihood estimator of θ based on a random sample of n investors with
observed frequencies nA , nB , nC , and nD for the four choices A,B,C, and D respectively is given by:
n A + n B + nC
θˆ = .
n A + 2n B + 3nC + 3n D
n ( 3 − 3θ + θ 2 )
(b) Show that I (θ ) = .
θ (1 − θ )

(c) The data below show the numbers choosing the different options for a random sample of n = 200
investors:
Choice/Number A/ 121 B/ 33 C/ 24 D/ 22
(1) Calculate θ and its estimated standard error.
ˆ
(2) Calculate the frequencies you would expect (under the fitted model) for the four options and
comment briefly on how well the model fits the data actually observed.

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Some further short questions to make you think and give you more practice

12.
(a) Random sample, size n, from X ~ U(−θ, θ). What is the MME of θ? What is the MLE of θ?
(b) The losses per claim (£), X, sustained by an insurance company in a certain class of business, are
distributed as X ~ exp(θ). A random sample of 100 losses contained 24 which exceeded £4000. What is the
MLE of the overall proportion of losses which exceed £8000?
(c) Capture/recapture An ecologist wants to estimate the total number of spongos (a spongo is a species of
animal which exists only in the mind of RJG) living in a particular area. He takes a sample of n spongos
and releases them after tagging (marking for recognition if seen later). After sufficient time has elapsed
for their mixing back into the rest of the spongo population, the ecologist takes a further random sample of
m spongos and finds that k of them are tagged. Ignoring any effects of births, deaths, and migration, what
is a sensible estimate of the total number of spongos living in the area?
(d) A room contains a number of ballroom dancers, each with a number on his/her back. The dancers are
numbered 1 , 2, … upwards. One dancer leaves the room and you notice that he is dancer number 17.
Estimate the number of dancers in the room (before number 17 came out).
Hint: See page 1 of the lecture notes “… we perform inference about a population in the presence of a
model …”
(e) Random sample, size n, from X with pdf f ( x ) = exp (θ − x ) , x > θ (θ ∈ℜ). Consider X as an estimator
of θ. Is it unbiased? Is it the MME? Is it the MLE?
(f) A random sample x = (x1, x2, x3) is taken of X ~ N(µ, 1), where µ is unknown. We want to estimate θ = µ3.
Find the MLE for θ. Find the MSE of the estimator θ * = X 1 X 2 X 3 .

(g) A sample proportion is to be used to estimate a population proportion π, which is known to be less than 0.1
(although its precise value is unknown). How large a sample is required to ensure that we are 90% sure that
the error of estimation we make does not exceed 0.02?