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NATIO::\AL UNIVERSITY OF SINGAPORE

EXAI\lINATION SEI\:IESTERII AY2012/2013
ST5224 ADVANCED STATISTICAL THEORY II
l'v1ay 2013 -- Time allowed: 2 hours
INSTRUCTIONS TO CANDIDATES
1. This examination paper contains FIVE (5) questions and comprises
THREE (3) printed pages.
2. Each question carries 20 marks.
3. Candidatesmayuse calculators. However. theyshould layoutsystematically
thevariousstepsin the calculations.
4. Thisis a closed bookexamination.
.
PAGE 2 ST5224
Question 1. [20 marks] Suppose that X has the binomial distribution B(p, n) and
we take thesquared loss L(p, d) = (p - d)2.
(i) Ifp has an improper prior density ----c:i==, find the Bayes estimatorofp.
(ii) Ifp has improper prior v'P(i-
p
) , find the Bayes estimatorofp.
(a) Find thebias and maximum bia.<; for theBayes Estimator.
(b) Calculatetheexpectedsquarederror andcompareitwiththatoftheUMVU
(uniformly minimum variance estimator) estimator.
Question 2. [20 marks] Let Xl," " Xn beiid from Gamma(a, b) where a is known.
(a) Verify that the conjugate prior for the natural parameterry -lib is equivalent
toaninverted gammaprior onb.
(b) Using the prior in part (a), find the Bayes estimator under the losses L(b,6) =
(b 6)2.
Question 3. [20 marks] For themodel
Show that:
(a) The empirical Bayes estimator, using an unbiased estimator ofT21 (cr
2
T1), is
theSteinestimator
(b)Ifp 2: 3, the Bayes risk, undersquared error loss, of6
JS
is r(T,6
JS
) r(T, 6
7
) +
2cr
4
/(cr
2
T2), where r(T, 6
7
) is theBayes risk oftheBayes estimator.
(c) Calculatethe Bayes risk for casesp 2andp 1, respectively.
rv Question 4. [20 marks] Let Xl,"',Xr be independent with Xi N((h, 1). Us-
ing the heuristic argument for large r and large 101, to analyze the estimator X
(XI,X
2
,"', X
r
), R
3-
PAGE 3 ST5224
(a) Use a Taylor series argument to show IIxl12 = r+11011
2
+Op[(r +11011
2
)1/2], so,
with high probability, the true 0 is in the sphere {O : 11011
2
::; IIxll2 r}. The
usual estimator X is approximately the same size as 0 and will almost certainly
beoutside ofthissphere.
(b)Part (a) suggestsa Steinestimatorofthe form b(x) = [1- h(llxll
2
)]x. Show that
110 - b(x)112 = (1 h)2l1x - 011
2
- 2h(1 h)e'(x 0) +h
2
11011
2
.
(c) Establish that O'(x - 0)/11011 = z r-.J N(O, 1), and IIx 011
2
::::: r, and, hence,
110 - b(x)112 '"(1- h)2r +h2110112 Op[(r 110112)1/2].
(d)Showthattheleadingterminpart (c) isminimizedath r/(r+11011
2
), andsince
IIxl1
2
::::: r+11011
2
,this leads tothe estimator b(x) = (1 11:11 2 )x.
Question 5 [20 marks]
(a) Let X be distributed as N(O, 1). Show that conditionally given a < X < b, the
variable X tendsin probability to bas0 00.
(b)Consider a sample Xl,...,Xn from a Poissondistributionconditioned tobepos-
itive, so that P(Xi = x) OXe-
o
/[x!(1 - e-
o
)] for x 1,2,. Show that the
likelihoodequationhasa unique positive root for all values ofx provided atleast
oneobservation is larger than 1.
(c) Let X have the negative binomial distribution. Findan MLE (Maximum Likeli-
hood Estimator) ofp. (Hint: P(X x) = X 0,1,2,.
END OF PAPER