Department of Statistics PhD Qualifying Exam January 3, 2005

University of Florida
Instructions:
1. You have exactly four hours to answer questions in this examination.
2. There are 8 problems of which you must answer 6.
3. Only your rst 6 problems will be graded.
4. Write only on one side of the paper, and start each question on a new page.
5. Clearly label each part of each question with the question number and the part, e.g., 1(a).
6. Write your number on every page.
7. Do not write your name anywhere on your exam.
8. You must show your work to receive credit.
9. While the eight questions are equally weighted, within a given question, the parts may have
dierent weights.
Department of Statistics PhD Qualifying Exam 2
1. Let X
1
, , X
p
be p( 3) independent N(
i
,
2
) random variables, where both = (
1
, ,
p
)
T

R
p
, and
2
(> 0) are unknown. We write X = (X
1
, , X
p
)
T
, and x = (x
1
, , x
p
)
T
. Let h() be
a real-valued function satisfying E
,
2|
2
log h(X)/X
2
i
| < and E
,
2[ log h(X)/X
i
]
2
< for
all i = 1, , p. For estimating by a, suppose that the loss incurred in is given by L

2(, a) =
|| a||
2
/
2
. Also, let U be a random variable distributed independently of the X
i
s such that
U
2

2
m
/(m+ 2).
(a) Show that T = (X
1
+U( log h(X)/X
1
), , X
p
+U( log h(X)/X
p
))
T
improves on X for
estimating if
2
p

i=1

2
log h(x)
x
2
i
+
p

i=1
_
log h(x)
x
i
_
2
< 0
for almost all x R
p
.
(b) Take h(x) = ||x||
(p2)
. Show that with this choice of h, the estimator T given in (a) improves
on X for estimating .
(c) Find an unbiased estimator of the risk improvement given in (b).
2. Let X
1
, , X
n
denote a random sample from an unknown (not necessarily normal) distribution
with nite fourth moment. Let and
2
denote the mean and variance of this distribution. Also,
let

1
=
3
/
3
and
2
=
4
/
4
, where
3
and
4
denote the third and fourth central moments
of this distribution. Suppose that one mistakenly assumes that the random sample is generated
from a N(,
2
) distribution. In the following, one assumes the normal likelihood, but expectation
is taken with respect to the true distribution which is not necessarily normal.
(a) Show that
_
_
E
_
log L

_
2
E
_
log L

__
log L

2
_
E
_
log L

__
log L

2
_
E
_
log L

2
_
2
_
_
= n
_
1

1
2
3

1
2
3

2
1
4
4
_
.
(b) Show that
_
_
E
_

2
log L

2
_
E
_

2
log L

2
_
E
_

2
log L

2
_
E
_

2
log L

4
_
_
_
= nDiag
_
1

2
,
1
2
4
_
.
(c) Find the asymptotic distribution of the MLE of (,
2
) under the true distribution.
(d) Comment on the results obtained.
Department of Statistics PhD Qualifying Exam 3
3. Let {X
n
, n 1} be a sequence of independent mean 0 square integrable random variables. Set
S
n
=

n
j=1
X
j
and s
2
n
=

n
j=1
EX
2
j
, n 1.
Prove that if
(1) 0 < s
2
n
,
(2)
X
n
s
n
0 a.c., and
(3) lim
n
1
s
2
n
n

j=1
_
[|X
j
|>s
j
]
X
2
j
dP = 0 for some > 0,
then
Sn
sn
N(0, 1).
4. Let {X
n
, n 1} be a sequence of independent and identically distributed random variables and set
S
n
=

n
j=1
X
j
, n 1.
(a) Suppose that EX
1
exists. Prove that if
Sn
n
P
c for some constant c in (, ), then
Sn
n
c
a.c. and c = EX
1
.
Warning. You cannot assume that X
1
is integrable; this is in eect part of the conclusion.
(b) Suppose that EX
1
does not exist. Identify the almost certain value of
lim
n
|S
n
|
n
.
Prove your answer.
(c) Demonstrate by an example that if EX
1
does not exist, then
Sn
n
P
c for some constant c in
(, ) can hold. Justify your example.
5. Let X = (X
1
, X
2
)

be a random vector with two elements. Its density function is of the form
f(x
1
, x
2
) =
1
f
1
(x
1
, x
2
) +
2
f
2
(x
1
, x
2
)
where
1
+
2
= 1,
i
0, i = 1, 2, and f
i
is the density function for the bivariate normal N(0,
i
),
where

i
=
_
1
i

i
1
_
, i = 1, 2.
(a) Find the moment generating function of X.
(b) Find the moment generating functions for the marginal distributions of X
1
and X
2
using part
(a). Deduce that X
1
and X
2
are each normally distributed as N(0, 1).
(c) Show that X itself is not normally distributed if
1
=
2
.
(d) What can you conclude from parts (b) and (c)?
(e) Show that the covariance of X
1
and X
2
can be zero if
1
=
2
, but X
1
and X
2
are not
independent.
Department of Statistics PhD Qualifying Exam 4
6. Consider the two-way model,
y
ij
= +
i
+
j
+
ij
,
where i = 1, 2, , 6; j = 1, 2, , 8,
i
,
j
, and
ij
are independently distributed as normal
variates with zero means and variances
2

,
2

, and
2

, respectively. Let
1
=

2

,
2
=

2

.
(a) Show how to obtain an exact condence interval on 2
2

+3
2

+
2

with a condence coecient

of at least 1 .
(b) Find the uniformly minimum variance unbiased estimator of
=
1 + 8
1
1 + 6
2
(c) Find the expected values of R( | ) and R( | , ).
(d) If
i
were xed and
j
random, what would the BLUE of LSM(
i
), the least-squares mean
for
i
, be? Please provide justications for your answer.
7. Let
Y =
_
1, if a person has a disease,
0, otherwise,
and suppose that presence of the disease depends on covariates x and on a separate exposure
variable, E, with levels j = 1, . . . , k, through the model
log
P(Y = 1|x, E = j)
P(Y = 0|x, E = j)
= a(x) +
j
, j = 1, . . . , k,
for some function a(x) (possibly unknown).
(a) Controlling for x, what is the odds ratio comparing the odds of having the disease in two
dierent exposure categories, j and j

.
(b) Suppose that the data on exposure is collected retrospectively; that is, diseased and non-
diseased individuals are sampled and their exposure categories are determined. Let
Z =
_
1, if a person is sampled,
0, otherwise,
and suppose that
P(Z = 1|Y, x, E) = P(Z = 1|Y, x),
i.e., the selection probability for an individual given disease status, Y , and covariates, x, is
conditionally independent of exposure, E.
Derive an expression for P(Y = 1|Z = 1, x, E = j), and show that, controlling for x, the
odds-ratio comparing the odds of disease for sampled individuals in two dierent exposure
categories, j and j

, is the same as that derived in part (a).

Department of Statistics PhD Qualifying Exam 5
8. The standard Cauchy (or Cauchy(0, 1)) distribution has density f(u) =
1

1
1+u
2
, < u < ,
cumulative distribution function F(u) =
1
2
+
1

arctan(u), and characteristic function (t) = e

|t|
.
If U has a standard Cauchy distribution, then the distribution of U +, where < < , and
> 0, is known as a Cauchy distribution with location parameter (median) and scale parameter
. Denote this distribution by the notation Cauchy(, ).
(a) If U
1
and U
2
are independent random variables, U
i
Cauchy(
i
,
i
), i = 1, 2, and a
1
and a
2
are real numbers, what is the distribution of a
1
U
1
+a
2
U
2
? Justify (prove) your answer.
(b) Suppose that Y is a binary response following a generalized linear mixed model (GLMM)
for E(Y |U) (i.e., g
_
E(Y |U)
_
= ) with link function g = F
1
(where F is the cdf of the
Cauchy(0, 1) distribution as given above) and linear predictor = x
T
+z
T
U, where x R
p
and z R
q
are known covariates, R
p
is a vector of regression parameters, and U =
(U
1
, . . . , U
q
) is a vector of independent random variables, U
i
Cauchy(0,
i
), i = 1, . . . , q.
Show that the marginal model for Y is a GLM, identify its link function, and express its
coecient vector in terms of the elements of the GLMM.