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(1 x)1
f (x) =
if 0 < x < 1,
otherwise.
Also,
E (X1 ) =
1
,
1+
Var (X1 ) =
.
(1 + )2 (2 + )
X n = n1 Xi .
i=1
(1 )x
f (x) =
if x {0, 1, 2, . . .},
otherwise,
n
.
n + ni=1 Xi
3. Let X1 , . . . , Xn be iid random variables such that E,2 (X1 ) = and Var,2 (X1 ) = 2 are
both finite. However, suppose that X1 , . . . , Xn are not normally distributed. Now define
Xn =
1 n
Xi .
n i=1
2x exp(x2 )
f (x) =
if x 0,
if x < 0,
where > 0 is unknown. Suppose we assign a Gamma(a, b) prior to , where a > 0 and
b > 0 are known.
Note: The Gamma(a, b) distribution has pdf
ba
a1
(a) x exp(bx)
f (x) =
if x > 0,
if x 0,
and its mean is a/b. You may use these facts without proof.
(a) Find the posterior distribution of .
(b) Find (or simply state) the posterior mean of .
5. Let X1 , . . . , Xn iid Poisson(), where > 0 is unknown.
Note: The Poisson() distribution has pmf
x exp()
f (x) =
x!
if x {0, 1, 2, . . .},
if x {0, 1, 2, . . .},
and its mean and variance are both . Also, the maximum likelihood estimator of is
1 n
MLE
=
Xi .
n
n i=1
You may use these facts without proof.
(a) Let 0 > 0 be fixed and known. Find the likelihood ratio test of H0 = 0 versus
H1 0 . (You do not need to state how to choose the critical value for this part
of the question.)
(b) State how the critical value of the likelihood ratio test in part (a) can be chosen to
give the test approximate size .
exp( x)
2
[1 + exp( x)]
x
1
x
1
sech(
) = sech(
),
4
2
4
2
1
,
1 + exp( x)
where R is unknown.
Note: The maximum likelihood estimator of is
MLE = X. Also, sech(t) = sech(t)
for all t R, and sech(t) is a strictly decreasing function of t. You may use these facts
without proof.
(a) Show that the likelihood ratio test of H0 = 0 versus H1 0 rejects H0 if and
only if X c for some critical value c. (You do not need to state how to choose the
critical value for this part of the question.)
(b) State how the critical value c of the likelihood ratio test in part (a) can be chosen
to give the test size (exactly, not just approximately), where 0 < < 1.
(c) For the likelihood ratio test with size in parts (a) and (b), find the probability of
a type II error if the true value of happens to be = 0.
(d) Suppose we observe X = xobs . Find the p-value of the likelihood ratio test for the
observed data xobs .
Note: Be sure your answer is correct for both positive and negative values of xobs .
7. Suppose that we call a hypothesis test trivial if its rejection region is either the empty
set or the entire sample space, i.e., a trivial test is a test that either never rejects H0
or always rejects H0 . Now let X Bin(n, ), where is unknown, and consider testing
H0 = 1/2 versus H1 1/2. Find a necessary and sufficient condition (in terms of n)
for the existence of a test of these hypotheses with level = 0.05 = 1/20 that is not trivial.
8. Let X1 , . . . , Xn be iid Exp(1) random variables with pdf
exp(x)
f (x) =
if x 0,
if x < 0.
1
x
1
1
2 x3 exp( 22 2x )
f (x) =
if x > 0,
if x 0,
( + 1)
( + x)2
f (x) =
if 0 x 1,
otherwise,
where > 0 is unknown. It can be shown that the Fisher information in the sample is
In () =
n
.
32 ( + 1)2
Use this fact to find (or simply state) the asymptotic distribution of the maximum likelihood estimator n of .
Note: There is no need to actually find the form of n or to verify the result for the Fisher
information. Also, you may assume that the regularity conditions of Section 7.4 of the
notes hold.
( + x)2
f (x) =
if x 0,
if x < 0,
where > 0 is unknown. Let n denote the maximum likelihood estimator of (which
you do not need to find).
Note: It can be shown by simple calculus that
E (X1 ) = E (
1
) = ,
X1
E (
1
1
)= ,
+ X1
2
E [
1
1
] = 2,
2
( + X1 )
3
so you may use any of these facts without proof. You may also assume that the relevant
regularity conditions (i.e., those of Section 7.4 of the notes) are satisfied.
(a) Find the score function for the sample and show explicitly that its expectation is
zero (i.e., do not simply cite the result from the notes that says that the expectation
is zero).
(b) Find the Fisher information for the sample.
(c) Find (or simply state) the asymptotic distribution of n .
Note: Your answer should be a formal probabilistic result involving convergence in
distribution.
12. Let X1 , . . . , Xn iid N (, 1), where R is unknown.
(a) State an estimator of that is consistent but not unbiased.
(b) State an estimator of that is consistent but not asymptotically efficient.
(c) Is ( X n )2 = (n1 ni=1 Xi )2 an unbiased estimator of 2 ? Why or why not?
(d) Is ( X n )2 = (n1 ni=1 Xi )2 a consistent estimator of 2 ? Why or why not?
13. Lemma 7.2.1 of the notes states that E [`Xn ()] = 0 for all in the parameter space .
This result uses the regularity condition that Xn = (X1 , . . . , Xn ) is an iid sample. Now
suppose that we were to remove the condition of independence while keeping all other
regularity conditions in place. Explain why the result that E [`Xn ()] = 0 for all
would still be true.
14. Let X1 , . . . , Xn be iid random variables from a distribution that depends on an unknown
parameter R. This distribution has the following properties:
E (X1 ) = 2 exp(),
E (log X1 ) = ,
E (X11 ) = 2 exp(),
n
1/n
(2)
n = log( Xi ) .
i=1
(x + k 1)! k
x! (k 1)! (1 )
p (x) =
if x {0, 1, 2, . . .},
otherwise,
1
,
[1 + (x )2 ]
x exp()
if x {0, 1, 2, . . .},
x!
p (x) =
0
otherwise,
where > 0 is unknown. Then let 0 > 0 be fixed and known, and consider testing
H0 = 0 versus 0 .
n = X n , and E (X1 ) = . You may use these facts without proof.
Note: The MLE of is
(a) Find the Wald test of these hypotheses, and state how to choose the critical value
to give the test approximate size . (You may use either version of the Wald test.)
(b) Find the score test of these hypotheses, and state how to choose the critical value to
give the test approximate size .
(c) Find the Wald confidence interval for with approximate confidence level 1. (You
may use either version of the Wald confidence interval.) where z/2 is the number
such that P (Z z/2 ) = for a standard normal random variable Z.