UNIVERSITY OF ZIMBABWE

BSc Honours Level II in Statistics HSTS201

THEORY OF ESTIMATION AND TESTING OF HYPOTHESES

November/December 2013
Time : 2 hours

Candidates should attempt all questions in Section A and at most TWO Questions from
Section B. Marks will be allocated as indicated.

SECTION A (40 marks)

Candidates may attempt ALL questions being careful to number them A1 to A3.

A1. Define the following terms:

(a) maximum likelihood estimator, [1]

(b) minimum variance unbiased estimator(MVUE). [2]
(c) scale-invariant estimator, [1]
(d) sufficient statistic, [1]
(e) asymptotic relative efficiency, [1]
(f) confidence interval, [1]
(g) exponential class, [1]
(h) minimal sufficient statistic, [1]
(i) best critical region, [1]
(j) power of the test, and [2]
(k) non-central t-distribution. [1]

A2. (a) State without proof each of the following theorems:

(i) Lehman-Scheffé Theorem. [2]
(ii) Neyman’s Factorisation Theorem. [2]
(iii) Rao-Cramér Lower Bound Theorem or inequality. [2]
(b) Given a random sample from an exponential distribution that has density function

1 − xθ
(
θ
e 0 < x < ∞, 0 < θ < ∞
f (x; θ) =
0, elsewhere

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(i) Use the factorisation theorem to show that n1 Xi is a sufficient statistic

P

for θ. [5]
(ii) Show that the maximum likelihood estimator of θ is a unique function of the
complete sufficient statistic and is MVUE. [4]
(iii) Determine the Fisher information I(θ) and show that the maximum likelihood
estimator is an efficient estimator of θ. [2,2]

A3. (a) State the Neyman-Pearson Lemma(Theorem). [2]

(b) Let X1 , X2 , · · · , Xn be a random sample of size n from the normal distribution
N (θ, 1) that has pdf
 2
 √1 − (x−θ)
f (x; θ) = 2π
e 2 −∞<x<∞
 0, otherwise

(i) Obtain the best critical region C for testing the hypothesis H0 : θ = θ0 = 0
versus H1 : θ = θ00 = 1 [5]
(ii) Explain why there is no uniformly most powerful test for this problem. [2]

SECTION B (60 marks)

Candidates may attempt TWO questions being careful to number them B4 to B6.

B4. (a) Define a complete family of probability density functions or mass functions. [3]
(b) Show that the following families of distributions belong to the regular exponential
class and for each case use the information to find the complete sufficient statistic
or joint complete sufficient statistic based on a random sample X1 , X2 , · · · , Xn for
the normal and Poisson distributions given below.
(i) N (θ1 , θ2 ); −∞ < θ1 < ∞,0 < θ2 < ∞ [4]
(ii) P (λ); λ > 0. [3]
(c) Suppose that you have two independent random samples X1 , X2 , · · · , Xn and
Y1 , Y2 , · · · , Ym from distributions N (µ1 , σ12 ) and N (µ2 , σ22 ) where x = 4.8, s21 =
8.64, y = 5.6 and s22 = 7.88. Find the exact 95% confidence interval for the
difference between means [10]
(d) Let X1 , X2 , · · · , Xn be a random sample of size 20 from a N (θ, σ 2 ) distribution
where −∞ < θ < ∞ and σ 2 > 0. Use the likelihood ratio test (Λ) to test the
hypothesis H0 : θ = θ0 against H1 : θ 6= θ0 if θ0 = 80, σ 2 = 80, X = 81.2 and
α = 0.05. [10]

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B5. (a) Define a uniformly most powerful(UMP) critical region and test. [3]
(b) Let X1 , X2 , · · · , X25 be a random sample from a normal distribution N (θ, 100).
Using the exponential class to obtain the monotone likelihood ratio find the uni-
formly most powerful test of size α = 0.10 for testing H0 : θ = 75 against
H1 : θ > 75. [10]
(c) What is a sequential probability ratio test? [2]
(d) Let X have a Bernoulli distribution
(
θx (1 − θ)1−x x = 0, 1
f (x; θ) =
0, otherwise
1
Find the sequential probability ratio test for testing H0 : θ = 3
against
H1 : θ = 32 . [15]

B6. (a) Define the prior and posterior distributions. [2,2]

(b) Consider Xi |θ to be Poisson(θ) and Θ to have a prior distribution that is Γ(α, β),
α, β. Find the posterior distribution. [12]
(c) If the decision function δ that minimizes a Bayes’ estimate `[θ, δ(x)]2 explain how
you can obtain the Bayes’ estimator and the credible or probability interval. [4,4]
(d) Define the non-central χ2 and the non-central F distributions. [3,3]

END OF EXAMINATION PAPER.

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