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NATIONAL UNIVERSITY OF SINGAPORE

Examination
Semester II: 2011-2012
ST5224 Advanced Statistical Theory (II)
April 2012 - Time allowed: 2 hours
INSTRUCTIONS TO CANDIDATES
1. This is a closed book examination.
2. This examination paper contains Four (4) questions and comprises
THREE (3) printed pages.
3. All the Four (4) questions are compulsory and must be answered.
4. Programmable calculators are allowed.
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1. Let X
1
, . . . , X
n
be a random sample from a distribution F.
(i) Suppose F is the Gamma(, ) distribution with probability den-
sity function
f(x; , ) =
1
()

x
1
e
x/
I
[0,)
(x).
(ia) Derive the likelihood equation for the maximum likelihood
estimation of and .
(ib) Let ( ,

) be an MLE or RLE of (, ). Derive the joint
asymptotic distribution of ( ,

) .
(ii) Suppose F is the exponential distribution with probability density
function
f(x; a, ) =
1

e
(xa)/
I
[a,)
(x),
where < a < , > 0 are unknown.
(iia) Derive the MLE of (a, ).
(iib) Let a be the MLE of a. Derive the asymptotic variance of a.
2. Let X
1
, . . . , X
n
be a random sample from the normal distribution N(,
2
)
where 0 < < , > 0 are unknown. Considering testing H
0
: = 1
versus H
1
: = 1.
(i) Derive the MLE of and .
(ii) Derive the MLE of under H
0
.
(iii) Derive the Fisher information matrix about and .
(iv) Derive the Raos score test statistic.
(v) Derive the Wald test statistic.
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3. Suppose that
X
i
= t
i
+
i
, i = 1, . . . , n,
where the t
i
s are xed constants and the s are i.i.d. random variables
with normal distribution N(0,
2
), < < and
2
> 0 are
unknown parameters.
(i) Derive the UMPU test of size for testing H
0
: 0 versus
H
1
: > 0.
(iii) Derive the UMPU test of size for testing H
0
: = 0 versus
H
1
: = 0.
4. Let X
1
, . . . , X
n
be a random sample from a distribution F.
(i) Suppose that F has the following probability density function
f(x; ) = x
(+1)
I
[0,)
(x).
Using the pivotal method, construct an equal tailed condence
interval of with condence coecient 1 .
(ii) Suppose that F is the normal distribution with mean and vari-
ance
2
. Obtain the uniformly most accurate unbiased (UMAU)
upper bound for .
END OF PAPER