LSTAT2050 - Analyse statistique II - Practice

session 1

Exercise 1 - Exponential family

Let X ∼ Beta(a, b), i.e. X has density function
Γ(a + b) a−1
pa,b (x) = x (1 − x)b−1 1[0,1] (x),
Γ(a)Γ(b)
where a, b > 0. Show that p belongs to the exponential family in the following scenarios
a) a is known and b is unknown;
a,b

b) Both a and b are unknown.

Solution

a) a is known and b is unknown

We want to be able to write :
Pb (x) = C(b)h(x)exp[Q(b)T (x)]
We have
Γ(a + b) xa−1
Pb (x) = 1[0,1] (x) b log(1 − x)]
exp[|{z}
Γ(a) + Γ(b) | 1 − x} | {z }
| {z } {z Q(b) T (x)
C(b) h(x)

b) a and b are unknown

We want to be able to write :
Pa,b (x) = C(a, b)h(x)exp[Q1 (a, b)T1 (x) + Q2 (a, b)T2 (x)]
We have
Γ(a + b) 1
Pa,b (x) = 1[0,1] (x) exp[ |{z}
a log(x) + |{z}b log(1 − x)]
Γ(a) + Γ(b) x(1 − x) | {z } | {z }
| {z }| {z } Q1 (a,b) T (x) Q2 (a,b) T2 (x)
1
C(a,b) h(x)

Exercise 2 - Suciency
Find a sucient statistic for the given parameter in the following scenarios :
a) Let X , . . . , X ∼ P ar(θ , θ ) the density of which is given by p (x) = θ θ x
iid θ1 −θ1 −1
1[θ2 ,∞) (x)
and where θ = (θ , θ ) with θ , θ > 0.
1 n 1 2 θ 1 2
T
1 2 1 2

b) Let X , . . . , X ∼ p (x), where p (x) = (2x/θ) exp[−x /θ]1 (x), with θ > 0.
1 n
iid
θ θ
2
[0,∞)

c) Let X , . . . , X ∼ U [0, θ], with θ > 0.

1 n
iid

LSTAT2050 - Analyse statistique II - Practice session 1 1

Solution

Subquestion a)
Because of the presence of the parameter in the support, we are obviously not dealing with
the EF. A good move consists in using the factorisation theorem (theorem 2.1). Given this, we
need to nd T (x) such that p (x) = g [T (x)]h(x). Let us do this.
θ θ,n
n n
1[θ2 ,∞) (Xi )
Y Y
pθ (x) = θ1n θ2nθ1 Xi−θ1 −1
i=1 i=1
| {z }| {z }
(I) (II)

Let us rewrite (I) and (II). " #

n
Y n
X
Xi−θ1 −1 = exp −(θ1 − 1) log(Xi )
i=1 i=1
n
1[θ2 ,∞) (Xi ) = 1[Xi ∈ [θ2 ; ∞)∀i = 1, . . . , n]
Y

i=1
= 1[X(1) ≥ θ2 ]1[X(n) < ∞]
Using this, we can reformulate p"(x) as θ
#
n
1[X(1) ≥ θ2 ] 1[X(n) < ∞]
X
pθ (x) = θ1n θ2nθ1 exp −(θ1 − 1) log(Xi )
i=1
| {z }
| {z } h(x)
gθ,n [T (x)]

In conclusion, T (x) = Pn

log(Xi ), X(1)

is sucient for θ. Note for completeness that (I)
didn't need to be rewritten. i=1

Subquestion b)
It is easy to see that p θ ∈ EF (1) . Indeed,  
1 1 2
pθ (x) = 2x1[θ2 ,∞) (x) exp − x
θ θ
Hence, the privileged statistic is . In order to conclude that it is sucient for
Pn
T (x) = i=1 Xi2
θ, we still need to check the conditions of theorem 2.6. Noting that the natural parameter is
λ = −1/θ it is trivial to determine that p is of minimal dimension and has non-empty interior.
Hence, is indeed sucient for θ.
λ
T (x)
Note : in order to understand the avour of this last condition let us provide an example of
a situation where Λ has empty interior. Consider a N (θ, θ ). We have λ = g(θ) and Λ = {g(θ) :
2

θ → θ }. Hence, all points in Λ lie on a parabola and, hence, it has empty interior.
2

Subquestion c)
Let us use the factorisation theorem (theorem 2.1). In order to use it, we rewrite p as θ
n
1
1[0 ≤ Xi ≤ θ]
Y
pθ (x) =
θn i=1
1
= 1[X(n) ≤ θ]1[X(1) ≥ 0]
θn

LSTAT2050 - Analyse statistique II - Practice session 1 2

Hence, X is sucient for θ.
(n)

Exercise 3 - Ancillarity
In the so-called location-scale family of distribution, nding an ancillary statistic becomes a
trivial task. This exercise illustrates this point. Let us dene the following families.
 Location family : P = {p (x) : p (x) = g(x − µ)}. This means that there exists some
Z such that Z = X − µ and its density is given by p (z) = g(z), free of µ.
1 µ µ

 Scale family : P = {p (x) : p (x) = g( )}. This means that there exists some Z such
Z
1 x

that Z = and its density is given by p (z) = g(z), free of σ.

2 σ σ σ σ
X

 Location-scale family : P = {p (x) : p = g( )}. This means that there

σ Z
1 x−µ

exists some Z such that Z = and its density is given by p (z) = g(z), free of σ and
3 µ,σ µ,σ(x) σ σ
X−µ

µ.
σ Z

Use the properties of these families to nd ancillary statistics in the following scenarios :
a) X , . . . , X ∼ U [θ, θ + 1]
1 n
iid

b) X , . . . , X ∼ U [0, θ]
1 n
iid

c) X , . . . , X ∼ U [θ , θ ]
1 n
iid
1 2

Subquestion a)
We have that U [θ, θ + 1] ∈ F . Indeed 1

pθ (x) = 1[θ ≤ x ≤ θ + 1]
= 1[0 ≤ x − θ ≤ 1] = g(x − θ)
Consequently, Z = X − θ has a density p free of θ. Hence, S(x) = X − X(1) = Z(n) − Z(1)
is ancillary.
Z (n)

Subquestion b)
We have that U [0, θ] ∈ F . Indeed 2

1
pθ (x) = 1[0 ≤ x ≤ θ]
θ
1 h x i 1 x
= 1 0≤ ≤1 = g
θ θ θ θ
Consequently, Z = has a density p free of θ. Hence, S(x) =
X
θ Z
X(1)
X(n)
=
Z(1)
Z(n)
is ancillary.
Subquestion c)
We have that U [θ , θ ] ∈ F . Indeed
1 2 3

1
pθ1 ,θ2 (x) = 1[θ1 ≤ x ≤ θ2 ]
θ2 − θ1
1
= 1 [0 ≤ x − θ1 ≤ θ2 − θ1 ]
θ2 − θ1
   
1 x − θ1 1 x − θ1
= 1 0≤ ≤1 = g
θ2 − θ1 θ2 − θ1 θ2 − θ1 θ2 − θ1

LSTAT2050 - Analyse statistique II - Practice session 1 3

Consequently, Z = X−θ1
has a density p free of (θ , θ ). Hence, S(x) = X(n) −X(1)
=
Z(n) −Z(1)

is ancillary.
θ2 −θ1 Z 1 2 X(n−1) −X(1) Z(n−1) −Z(1)

Exercise 4 - Completeness and minimal suciency

Let X , . . . , X iid
∼ U [θ, θ + 1] . Prove that T (x) = [X (1) , X(n) ] is minimal sucient for θ but not
complete.
1 n

Solution

Minimal suciency
We are going to use theorem 2.2, which states that provided that pθ (x)
is free of θ if and only
if T (x) = T (y), then T (x) is minimal sucient for θ. We have
pθ (y)

1[θ ≤ Xi ≤ θ + 1]
Qn
pθ (x)
= Qi=1
i=1 1[θ ≤ Yi ≤ θ + 1]
n
pθ (y)
1[X(1) ≥ θ]1[X(n) ≤ θ + 1]
=
1[Y(1) ≥ θ]1[Y(n) ≤ θ + 1]
which is free of θ if and only if X = Y(1) and X = Y(n) . Hence, T (X) is minimal sucient
for θ
(1) (n)

Non completeness
Several options are available.
Using the denition
We need to nd some integrable function g(.) such that E [g(X , X )] = 0, ∀θ ∈ Θ but
it is not the case that g(X , X ) = 0 a.s. We rst need to compute E (X ) and E (X ).
θ (1) (n)

First, noting p and P the density and cumulative distribution of the U [θ, θ + 1], we have
(1) (n) θ (1) θ (n)
θ θ

pX(1) (u) = npθ (u) [1 − Pθ (u)]n−1 = n [θ + 1 − u]n−1 1[θ ≤ u ≤ θ + 1]

pX(n) (t) = npθ (t) [Pθ (t)]n−1 = n [t − θ]n−1 1[θ ≤ t ≤ θ + 1]

After some computations, we obtain

n
Eθ (X(1) ) = θ + 1 −
n+1
n
Eθ (X(n) ) = +θ
n+1
Therefore
2n
Eθ [X(n) − X(1) ] = 1 +
n+1
Taking g(X , X ) = X − X − 1 − , we have E [g(X 2n
(1) , X(n) )] = 0∀θ . But it is not the
case that g(X , X ) = 0 a.s. Hence, T (X) is not complete.
(1) (n) (n) (1) n+1 θ
(1) (n)

LSTAT2050 - Analyse statistique II - Practice session 1 4

Using Basu's theorem
Let us rst recall Basu's theorem. Let S(X) be a sucient and complete statistic for θ and
U (X) be ancillary for θ. Then S(X) and U (X) are independent.
Assume per contra that T ((X)) is complete. We need to nd a statistic S(X) which is
ancillary and not independent with T (X). We would then reach a contradiction, proving that
T (X) cannot be complete.
By exercise 3, we know that S(X) = X −X is ancillary for θ. However, S(X) is obviously
not independent from T (X). Hence, T (X) is not complete
(n) (1)

Using directly an ancillary statistic

A general procedure for assessing the non completeness of a statistic T (X) lies in following
the subsequent steps.
1. Construct from T (X) an ancillary statistic S(X) = S(T ).
2. Because S(X) is ancillary, we have E [S(T )] = k, where k is a constant not depending
on θ.
θ

3. Dene g(T ) = S(T ) − k, we have E [g(T )] = 0∀θ.

θ

4. If it is not the case that g(T ) = 0 a.s. then T (X) is not complete.
Here, the ancillary statistic is again S(X) = X − X . Hence, we do not have g(T ) = 0
a.s. and T (X) is not complete.
(n) (1)

Exercise 5 - Basu theorem

This exercise illustrates the idea that Basu theorem may be used to compute moments of complex
∼ U [0, θ]. Use Basu theorem to compute E[X/X(n) ].
statistics. Let X1 , . . . , Xn iid

Solution
Notice that, E[X] = E[ X ] = E[ ]E[X ], where the last equality only applies in case
X
(n)
X
(n)

of independence. In order to show the independence between and X , we will use Basu
X(n) X(n)
X

Theorem.
X(n) (n)

We now show that X is minimal sucient for θ and X/X is ancillary for θ.
 It is easy to prove that X is minimal sucient by theorem 2.2 (as in exercise 4).
(n) (n)

 It is easy to prove that X/X is ancillary once we recognize that U [0, θ] is in the scale
(n)

family.
(n)

Then we can apply Basu theorem to conclude that X/X is independent from X .(n) (n)

Finally, we can easily show that E[X] = θ/2 and E[X ] = θ. Hence, E[X/X ] = (n)
n
n+1 (n)
n+1
E[X]/E[X(n) ] = 2n

LSTAT2050 - Analyse statistique II - Practice session 1 5