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Original Title: MAST20005 Statistics Assignment 3

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Question 1

(a)

The likelihood ratio test is based on the following:

L(θ0 )

λ= ≤k

L(θM L )

Q Qn P Pn

Since the MLE of θ in this case is given by X̄ this is determined as follows (where means i=1 and means i=1

throughout):

L(θ0 )

λ= ≤k

L(x̄)

Q xi

[θ (1 − θ0 )1−xi ]

= Q 0xi ≤k

[x̄ (1 − x̄)1−xi ]

P P

(θ0 )( xi ) (1 − θ0 )(n− xi )

= P P

(x̄)( xi ) (1 − x̄)(n− xi )

(θ0 )y (1 − θ0 )(n−y) X

= (where y = xi )

(y/n)y (1 − y/n)(n−y)

θ y 1 − θ n−y

0 0

=

y/n 1 − y/n

nθ y n − nθ n−y

0 0

=

y n−y

P

Therefore the likelihood ratio test is based on the statistic Y = Xi .

(b)

When H0 is true, Y is the sum of n i.i.d Bernoulli trials with p = θ0 . Therefore when H0 is true, the Y distributes

according to Bi(n, θ0 ).

(c)

Using the normal approximation, Y ≈ N (µ = nθ0 , σ 2 = nθ0 (1 − θ0 ))

Hence for n = 100, θ0 = 21 , the following test rejects H0 at the 0.05 significance level:

|Y − nθ0 |

z=p ≥ z0.025

nθ0 (1 − θ0 )

|Y − 50|

⇒z= ≥ 1.96

5

In terms of a critical region for Y, this is equivalent to:

c = 40

Where the critical region is Y ≤ 40 or Y ≥ 60.

1

Question 2

(a)

Under the null hypothesis, where the medianPof X is 0, we expect approximately half the observations in general to

n

be > 0. Hence the sign test statistic S(0) = i=1 I(Xi > 0) simply has a binomial distribution with n = 25, p = 0.5,

ie. S(0) ≈ Bi(25, 0.5).

So the significance level of a test which rejects H0 when S(0) ≥ 16 is given by P (S(0) ≥ 16|H0 ) = 1 − P (S(0) ≤

15|H0 ) = 0.11476

(b)

Let H2 be the hypothesis that X ≈ N (0.1, 1). Hence P (X > 0|H2 ) = 0.53983. So S(0)|H2 distributes according to a

binomial with parameters n = 25, p = 0.53983.

Then the power of the test S(0) ≥ 16 is 1 − P (S(0) ≤ 15|H2 ) = 0.21150.

(c)

Note that this question relies on the assumption that X distributes normally (at least, symmetrically) so that the

median is the mean. This assumption has been confirmed with the lecturer even though it is not stated explicitly in

the assignment.

2

Note that by the central limit theorem, for σX = 1, we have that X̄ ≈ N (µX , 1/n).

p

Let the null hypothesis H0 be that µX = 0. Hence under H0 , (X̄ − 0)/ 1/25 = 5X̄ ≈ N (0, 1).

p

Let Z = X̄/ 1/n = 5X̄, so Z ≈ N (0, 1). Then the following test has significance level 0.11476:

Z ≥ z0.11476 = 1.201596

(d)

If X ≈ N (0.1, 1) (H1 ) then the power of the test in (c) under H1 is given by:

= P (X̄ ≥ (1/5)1.201596)

= P ((X̄ − 0.1) ≥ (1/5)1.201596 − 0.1)

= P (5(X̄ − 0.1) ≥ 1.201596 − 0.5)

= P (5(X̄ − 0.1) ≥ 0.701596)

= 1 − Φ(0.701596) since 5(X̄ − 0.1) ≈ N (0, 1) under H1

= 0.2414656

2

Question 3

(a)

Since X distributes by Exp(λ = 1), F (x) = 1 − e−x . Hence if y = F (x) then:

y = 1 − e−x

e−x = 1 − y

−x = log(1 − y)

x = − log(1 − y) y ∈ (0, 1)

(b)

H0 is the hypothesis that X ≈ Exp(1).

Five equally probable class intervals for X are given by evaluating the intervals of (F −1 (y) given by y ∈ {0, 0.2, 0.4, 0.6, 0.8, 1.0,

hence:

(c)

Using these 5 categories the following test statistic can be used, to test at the α = 0.05 significance level:

With a critical region:

Since Q > c, we reject H0 at the 0.05 significance level.

3

Question 4

(a)

Let H0 be the hypothesis that the median m = 130, and H1 be the alternative hypothesis that m > 130.

Let Y equal the number of observations such that (xi − 130) > 0. Hence under H0 , since 130 is the median,

Y ≈ Binom(8, 0.5).

The dataset provided yields y = 3, hence we do not reject H0 at this significance level.

(b)

Let X represent the sample of unexposed babies and Y the sample of exposed babies. Note that nx = 7 and ny = 8.

Let the null hypothesis H0 be mx = my , and the alternative hypothesis H1 be that mx < my .

The normal approximation of the distribution of the W statistic is:

ny (nx + ny + 1)

µW = = 64

2

nx ny (nx + ny + 1)

V ar(W ) = = 74.667

12

Hence the critical region for W is:

√

W ≥ 64 + z0.01 74.667 = 84.10199

The value of the W statistic for the observations provided is calculated as follows:

Dataset X Y

Rank 1 2 3 4 5 7 11 6 8 9 10 12 13 14 15

P

Now w = yrank = 87 > 84.10199. Hence we reject H0 at the 0.01 significance level.

4

Question 5

(a)

Let µX and µY represent the means of X and Y respectively. Then, let the null hypothesis H0 be that µX = µY = µ,

where X ≈ N (µ, σ 2 ) and Y ≈ N (µ, σ 2 ). The alternative hypothesis H1 is that µX 6= µY .

The following test statistic can be used to test H0 at the 0.05 significance level:

|X̄ − Ȳ |

T = p ≥ t0.025 (n + m − 2)

SP 1/n + 1/m

q 2 +(m−1)S 2

(n−1)SX

where n and m are the sample sizes of X and Y respectively, and the pooled variance SP = n+m−2

Y

For the sample given we have n = 14, m = 5, x̄ = 12.56, s2x = 24.65, ȳ = 17.32, s2y = 11.01, hence the test statistic is:

r

13 · 24.65 + 4 · 11.01

SP = = 4.6304

17

|12.56 − 17.32|

t= p = 1.97315

4.6304 · 1/14 + 1/5

With critical region:

Since 1.97315 < 2.109816, we do not reject H0 at the 0.05 significance level.

(b)

p = 0.064964

(c)

Endpoints of the 95% confidence interval for µx − µy are given by:

p

(x̄ − ȳ) ± t0.025 (17)SP 1/14 + 1/15

Hence we are 95% confidence that the true difference lies in the following interval:

[−9.84968, 0.329682]

Note that this interval includes 0, reflecting the fact that we failed to reject the null hypothesis in (a).

(d)

2

The following F statistic can be used to test if the hypothesis σX = σY2 at the 0.05 significance level:

s2x

F = ∈

/ [f0.025 (n − 1, m − 1), f0.975 (n − 1, m − 1)]

s2y

For the samples provided, the value of the test statistic is:

f = 2.238874

And the critical region is:

2

However since 0.2502567 < 2.238874 < 8.7149963, there is not sufficient evidence to reject the hypothesis that σX = σY2

at the 0.05 significance level.

5

Question 6

The null hypothesis H0 is that the angle of pull does not affect the separation force required. The alternative hypoth-

esis H1 states that angle of pull does affect the separation force required.

SS(A)/3

F = ≥ f0.05 (3, 12) = 3.490295

SS(E)/12

Using the ”anova” function in R to analyze variance by the A factor yields the following results:

SS(A) = 58.157

SS(E) = 91.005

Hence

f = 2.5562

Since 2.5562 < 3.490295, we do not reject H0 at the 0.05 significance level. So there is not enough evidence to suggest

that the angle of pull affects the separation force required.

Note that I have assumed normality and equal variances of the underlying data.

6

Question 7

(a)

Note that E(Xij ) = E(µ + αi + ij ) = µ + αi , so:

m

i n

1 XX

E(X̄.. ) = E( Xij )

n i=1 j=1

m i n

1 XX

= E(Xij )

n i=1 j=1

m i n

1 XX

= (µ + αi )

n i=1 j=1

m

1X

= ni [µ + αi ]

n i=1

m

1 1X

= (nµ) + ni αi

n n i=1

m

1X

=µ+ ni αi

n i=1

Pm

X̄.. will be an unbiased estimatorPof µ when n1 i=1Pni αi = 0. Specifically, when all values of ni are equal (say n0 ),

m m m

this becomes n1 i=1 n0 αi = n1 n0 i=1 αi = 0, since i=1 αi = 0.

P

So X̄.. is an unbiased estimator of µ when the sample sizes ni for all categories are the same.

(b)

m

X m

X

ni (X̄i. − X̄.. )2 = ni (X̄i.2 − 2X̄i. X̄.. + X̄..2 )

i=1 i=1

m

X m

X m

X

= ni X̄i.2 − 2X̄.. ni X̄i. + X̄..2 ni

i=1 i=1 i=1

Xm Xm h1 X ni i

= ni X̄i.2 − 2X̄.. ni Xij + nX̄..2

i=1 i=1

ni j=i

Xm ni

m X

X

= ni X̄i.2 − 2X̄.. Xij + nX̄..2

i=1 i=1 j=i

m

X

= ni X̄i.2 − 2X̄.. [nX̄.. ] + nX̄..2

i=1

m

X

= ni X̄i.2 − 2nX̄..2 + nX̄..2

i=1

m

X

= ni X̄i.2 − nX̄..2

i=1

7

(c)

P

1 m Pni

Required to show: That n−m i=1 j=1 (Xij − X̄i. )2 is an unbiased estimator of σ 2

E[Xij ] = (µ + αi )

V ar[Xij ] = σ 2

2

E[Xij ] = V ar[Xij ] + E[Xij ]2 = σ 2 + (µ + αi )2

1

Pni

Also since X̄i. = ni i=1 Xij we have:

E[X̄i. ] = (µ + αi )

σ2

V ar[X̄i. ] =

n

σ2

E[X̄i.2 ] = V ar[X̄i. ] + E[X̄i. ]2 = n + (µ + αi )2

Now, the expectation of the expression under consideration is calculated as follows:

m Xni

" m n #

1 X 1 XX i

2 2

E[ (Xij − X̄i. ) ] = E (Xij − X̄i. )

n − m i=1 j=1 n−m i=1 j=1

" m n #

1 XX i

2 2

= E (Xij − 2Xij X̄i. + X̄i. )

n−m i=1 j=1

" m ni ni

#

1 X h X i hX i

2 2

= E Xij − 2X̄i. Xij + ni X̄i.

n−m i=1 j=1 j=1

" m ni

# ni

1 X h X i X

2

= E Xij − 2X̄i. [ni X̄i. ] + ni X̄i.2 since ni X̄i. = Xij

n−m i=1 j=1 i=1

" m ni

#

1 X h X i

2

= E Xij − 2ni Xi.2 + ni X̄i.2

n−m i=1 j=1

" m ni

#

1 X h X i

2 2

= E Xij − ni Xi. )

n−m i=1 j=1

" m n #

1 XX i h i

2 2

= E Xij − X̄i.

n−m i=1 j=1

m i n

1 XX h

2

i

= E Xij − X̄i.2

n − m i=1 j=1

m i n

1 XX 2

= E[Xij ] − E[X̄i.2 ]

n − m i=1 j=1

m i n

1 XX 2

= (σ 2 + (µ + ai )2 ) − ( σni + (µ + ai )2 )

n − m i=1 j=1

m i n

1 XX σ2

= (σ 2 − ni )

n − m i=1 j=1

m ni

1 2 XX 1

= σ (1 − ni )

n−m i=1 j=1

m

1 2X

= σ (ni − 1)

n−m i=1

1

= σ 2 (n − m)

n−m

= σ2

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