MATHEMATICAL STATISTICS Tutorial Exercises 8 Answers

1 For this beta distribution E(Y ) = 1/2 so consider E(Y 2 ).

Z 1
Γ(2θ) 2 θ−1
2
E(Y ) = 2
y y (1 − y)θ−1 dy
0 Γ (θ)
Γ(2θ) 1 θ+1
Z
= 2 y (1 − y)θ−1 dy
Γ (θ) 0
Γ(2θ) Γ(θ + 2)Γ(θ)
= 2
Γ (θ) Γ(2θ + 2)
θ+1
=
4θ + 2
1
P 2
and if m2 = n yi ,
θ+1
m2 =
4θ + 2

(4θ + 2)m2 = θ + 1
and
1 − 2m2
θ̃ = .
4m2 − 1

2 The log of the likelihood is

P
Y yi
ln L = −n ln Γ(α) − nα ln θ + (α − 1) ln yi −
θ
and so P
∂ ln L −nα yi
= + 2
∂θ θ θ
and
∂ ln L ȳ
= 0 if θ = .
∂θ α
1
E(θ̂) = E(Ȳ )
α
1
= αθ
α
=θ

1
Y (θ̂) = V (Ȳ )
α2
1 1
= 2 αθ2
α n
θ2
=
nα
and the estimator is consistent as V (θ̂) → 0 as n → ∞.
3
f (x; θ) = θ(1 − θ)y−1 y = 1, 2, . . .
= exp[ln θ + (y − 1) ln (1 − θ)]
θ

= exp[y. ln (1 − θ) + ln ]
1−θ
P
and so yi and thus Ȳ is sufficient for θ in this exponential class of probability
density functions.