Worksheet 2 – MATH20802

Korbinian Strimmer

Week 3

Formulas:
Exponential distribution:
If a random variable X ≥ 0 has this distribution we write X ∼ Exp(λ). The corresponding probability
density function is:
f (x) = λe−λx
for λ > 0. The expected value is E(X) = 1/λ and the variance is Var(X) = 1/λ2 .
Geometric distribution:
If a random variable X has this distribution we write X ∼ Geom(p). The probability mass function of X
is:
f (x) = p(1 − p)x−1
for x = 1, 2, . . .. The expected value is E(X) = 1/p and the variance is Var(X) = (1 − p)/p2 .
Binomial distribution:
If a random variable X has this distribution we write X ∼ Bin(m, p). The probability mass function of
X is:  
m x
f (x) = p (1 − p)m−x
x
for x = 0, 2, . . . , m and where  
m m!
= .
x x!(m − x)!
The expected value is E(X) = mp and the variance is Var(X) = mp(1 − p).

1
Questions:
We observe data x1 , . . . , xn .
1. Find the MLE of the parameter p of the geometric distribution:
i. Write down the likelihood function,
ii. the log-likelihood function,
iii. the score function,
iv. find the maximum likelihood estimate, and
v. verify that the result is indeed a maximum.
2. N independent random variables follow the Bin(2, p) distribution. Among them n0 take on the
value 0, n1 take on the value 1 while n2 take on the value 2. We have n0 + n1 + n2 = N . Find the
MLE of p.
3. Compute the inverse of the observed Fisher information for the maximum likelihood estimator for
the parameter p of the model discussed in Question 2.
4. Compute the maximum likelihood estimator λ̂M L for the parameter λ of the exponential distribution:
i. Write down the log-likelihood function,
ii. the score function and
iii. find the maximum likelihood estimate.
iv. Compute the observed Fisher information Jn (λ̂M L ).
v. Subsequently, compute the asymptotic variance and standard deviation of λ̂M L and
vi. state the corresponding normal symmetric confidence interval at the 90%, 95% and 99%
coverage levels.
5. Given the independent random samples: x1 , x2 , . . . , xn ∼ N (α+β, 1) and y1 , y2 , . . . , yn ∼ N (α−β, 1)
find the MLEs of α and β.