ENNN 20/11/17

DEPARTMENT OF STATISTICS
STAT 601: ESTIMATION AND DECISION THEORY
INTERIM ASSESSMENT II
DURATION: 2 HOURS
ANSWER ALL QUESTIONS

1 What does it mean to say T (x) is Uniform Minimum Variance Unbiased

Estimator (UMVUE) for estimating θ?

How does one establish the existence of an UMVUE?

2 . Explain how in Bayesian inference the posterior distribution of a

parameter θ can be used to give (i) a point estimate of θ, (ii) an interval

estimate for θ.

3 . Let X1 , X2 , X3 , ..., Xn be a random sample from an exponential

1
Pn
distribution with mean λ
where λ>0. Show that Y = i=1 Xi

(a) is a sufficient statistic;

(b) has a complete family of densities.

4. (a) Differentiate between a Minimax estimator and a Bayes’ estimator.

(b) Let X1 , X2 , X3 , ..., Xn be a random sample from X ∼ B(1; θ) with

0<θ<1. But θ itself is a random variable having a Beta(α; β)

distribution.

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 ENNN 20/11/17

(i) Find the posterior distribution and hence the Bayes’ estimator for
θ.

(ii) Determine the Risk R(θ; δ) associcated with the Bayes’ estimator.

(iii) Deduce that the Minimax estimator for θ is

Pn √
n
i=1 Xi + 2
√
n+ n