Statistical Methodology

MATH10095

Tuesday 21st December 2021

1300-1500 † *

†
All students: You have an additional 1 hour to assemble and submit your PDF.

Final submission deadline: 16:00

*Students with a Schedule of Adjustment for additional time in examinations:

You are entitled to a further fixed additional 1 hour for this remote examination.

Final submission deadline: 17:00

Attempt all questions

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1. Start each question on a new sheet of paper.

2. Number your sheets of paper to help you scan them in order.
3. Only write on one side of each piece of paper.
4. If you have rough work to do, simply include it within your overall answer – put
brackets at the start and end of it if you want to highlight that it is rough work.
MATH10095 Statistical Methodology 1

(1) The data y1 , . . . , yn are n independent observations of a random variable with

probability density function
√
µ (y−µ)2
f (y; µ) = p e− 2µy , y > 0
(2πy 3 )

and f (y; µ) = 0 for y < 0, where µ > 0 is an unknown parameter.

(a) Show that the log-likelihood for µ given this data can be written as
n n n
n n 1 X µX 1 3X
log µ − log(2π) + n − yi − − log yi .
2 2 2µ i=1 2 i=1 yi 2 i=1

[4 marks]
(b) Show that the expected (Fisher) information for µ under this probability model
is
3n
I(µ) = 2 .
2µ
[8 marks]
1 2 1
= µ32 for

2


Hint. You can use E(Y ) = µ, E Y
= µ
, var(Y ) = µ , var Y
Y ∼ f (y; µ).
(c) Given observed data with n = 75, ni=1 yi = 147.03 and ni=1 y1i = 78.28, test
P P
the hypothesis H0 : µ = 2 against the two-sided alternative H1 : µ 6= 2 for this
data using the score test statistic with the expected information evaluated at
µ0 = 2. Do you reject this hypothesis at 1% significance level? [10 marks]
(d) Obtain an iterative formula based on Fisher’s method of scoring for calculating
the MLE of µ. [4 marks]
(e) We know that after 3 iterations the iterative scheme in (d) for data given in
(c) converges to the maximum likelihood estimate µ̂ = 1.931. Construct a two-
sided 95% confidence interval for µ using the Wald test statistic with the Fisher
information evaluated at the MLE µ̂. [6 marks]

Note: where necessary, choose an appropriate critical point from the percentiles below,
where in each case the argument (α) shows the area under the curve on the right
hand-side of the distribution:

χ21 (0.05) = 3.84, χ22 (0.05) = 5.99, z(0.05) = 1.64, z(0.025) = 1.96,
χ21 (0.01) = 6.63, χ22 (0.01) = 9.21, z(0.01) = 2.33, z(0.005) = 2.58,

i.e. percentiles χ2ν (α) of χ2ν distribution with degrees of freedom ν and density fχ2ν (x)
satisfy Z +∞
α= fχ2ν (x)dx,
χ2ν (α)
R +∞ 2
and percentiles z(α) of distribution N (0, 1) satisfy α = √1 e−x /2 dx.
z(α) 2π

[Please turn over]

MATH10095 Statistical Methodology 2

(2) Consider two independent samples:

let x1 , x2 , . . . , xn be a random (i.i.d.) sample from the exponential distribution
Exp(λ) with density f (x; λ) = λe−λx , x > 0, and
let y1 , y2 , . . . , yn be a random (i.i.d.) sample from the exponential distribution
Exp(λ + µ) with density f (y; λ + µ) = (λ + µ)e−(λ+µ)y , y > 0.
Denote the unknown 2-dimensional parameter θ = (λ, µ), with λ > 0 and λ + µ > 0.

(a) Show that the log likelihood function for the vector of the unknown parameters
θ = (λ, µ) based on observed samples x = (x1 , . . . , xn ) and y = (y1 , . . . , yn ) is
n
X n
X
`(θ) = `(θ; x, y) = n log λ + n log(λ + µ) − λ xi − (λ + µ) yi .
i=1 i=1

[6 marks]
(b) Obtain an expression for the MLE of the vector of the unknown parameters θ =
(λ, µ) (here you are not required to check that it corresponds to the maximum).
[5 marks]
(c) Obtain the Fisher information matrix for the vector of the unknown parameters
θ = (λ, µ). [8 marks]
(d) Derive the expression of the general likelihood ratio test statistic for testing the
hypothesis H0 : µ = 0 against H1 : µ 6= 0 (no need to simplify this expression),
and hence state the rule for rejecting the null hypothesis at significance level α
(recall that λ is unknown). [10 marks]
(e) Now consider only one random i.i.d. sample x1 , x2 , . . . , xn from the exponential
distribution Exp(λ) with density f (x; λ) = λe−λx , x > 0. Consider a Bayesian
model for λ with prior density
ba a−1 −bλ
p(λ) = λ e , λ > 0,
Γ(a)
a
for some fixed values a, b > 0; i.e. λ ∼ Γ(a, b), for which E(λ) = .
b
(i) Show that the posterior distribution of λ given x = (x1 , x2 , . . . , xn ) is
Γ(A, B), and derive the expressions for A and B in terms of a, b, n and
x1 , x2 , . . . , xn . [4 marks]
(ii) Write the expression for the posterior mean of λ (no need to prove it), and
compute
Pn its value for a = 2, b = 1 and observed data with n = 50 and
i=1 xi = 67.01. [3 marks]

[Please turn over]

MATH10095 Statistical Methodology 3

(3) Consider the simple linear regression model E(Yi | xi ) = β0 + β1 xi for i = 1, · · · , n in

which Yi are independently distributed from N (β0 + β1 xi , τ 2 ) and τ 2 is unknown.
Assume we have a sample from this model, (xi , yi ), i = 1, . . . , n with n = 49 such
that the sample means x̄ and ȳ and standard deviations sx and sy are given by

x̄ = 1182 sx = 226

ȳ = 49 sy = 7,
and the sample Pearson correlation between x and y is r = 0.67.

(a) Calculate the maximum likelihood estimates of the model parameters (β0 , β1 ),
up to 2 decimal places for β0 and up to 4 decimal places for β1 .
[8 marks]
(b) (i) What proportion of the total variability in Y is explained by variable x in
this model? [2 marks]
(ii) If this proportion were almost zero in a hypothetical model, what could you
conclude about the model and its residuals sum of squares? [4 marks]
(c) Explain the assumptions made in fitting this simple linear regression model, in
terms of the model residuals. [8 marks]
(d) Two future observations are recorded, which are x50 = 1202 and x51 = 1000.
(i) Calculate the predicted value of the response variable for these two
observations. [4 marks]
(ii) Assume the 90% confidence intervals are calculated for these predictions.
Is the interval corresponding to observation x50 wider than the interval
corresponding to observation x51 , or not? Explain your answer. (Note that
you do not need to construct these intervals.) [6 marks]

[End of Paper]