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Université Toulouse 1 Capitole Ecole D'économie de Toulouse

(1) The document is the final exam for a Mathematical Statistics course consisting of 3 questions and 3 exercises worth various points totaling 20 points. (2) The first exercise asks students to find cumulative distribution functions for random variables derived from an exponential distribution and show that a sequence converges in distribution. (3) The second exercise involves computing risk functions for decision rules in a binomial setting and identifying the minimax and Bayesian decision rules. (4) The third exercise asks about the asymptotic distributions of sample means and variances from an exponential distribution.

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Mohamed Lemine Beydia
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20 views

Université Toulouse 1 Capitole Ecole D'économie de Toulouse

(1) The document is the final exam for a Mathematical Statistics course consisting of 3 questions and 3 exercises worth various points totaling 20 points. (2) The first exercise asks students to find cumulative distribution functions for random variables derived from an exponential distribution and show that a sequence converges in distribution. (3) The second exercise involves computing risk functions for decision rules in a binomial setting and identifying the minimax and Bayesian decision rules. (4) The third exercise asks about the asymptotic distributions of sample means and variances from an exponential distribution.

Uploaded by

Mohamed Lemine Beydia
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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Université Toulouse 1 Capitole

Ecole d’économie de Toulouse

Année universitaire 2020-2021


Session 1
Semestre 1

Master 1 Econometrics, Statistics

Epreuve : Mathematical Statistics 1

Date de l’épreuve : 17 décembre 2020

Durée de l’épreuve : 2h

Liste des documents autorisés : Aucun

Liste des matériels autorisés : Dictionnaire, calculatrice

Nombre de pages (y compris page de garde) : 3


M1 ECO-STAT 1

MATHEMATICAL STATISTICS
2020-2021
Final exam
WITHOUT document

Justifications of the results are at least as important as the results themselves


in the grading. Scoring scale indicated between brackets.

Questions on the project.[4.5 points]


(Q1) [1.5 points] Give one formula for the population Gini coefficient of a posi-
tive random variable and its corresponding empirical version.
(Q2) [1.5 points] What is the principle of stochastic regression imputation and
its advantage over ordinary regression imputation.
(Q3) [1.5 points] Explain the principle of the return level plot for a series of
maxima over a time period.

Exercise 1.[5.5 points]


Let (Xn )n≥1 be a sequence of i.i.d. real-valued random variables having the
common density
ex
f (x) = , for any x ∈ R.
(1 + ex )2
For n ∈ N∗ , we set Yn = max(X1 , . . . , Xn ) and Zn = Yn − ln(n).
(1.1) [1.5 points] Find the c.d.f. of X1 .
(1.2) [1.5 points] Compute the c.d.f. of Yn .
(1.3) [1 point] Deduce the c.d.f. of Zn .
(1.4) [1.5 points] Show that (Zn ) converges in distribution to Z whose c.d.f. is
to be determined.

Exercise 2. [6 points]
Let X have a Binomial distribution with parameters given by n = 2 and θ ∈
{θ1 = 1/100, θ2 = 1/10}. The decision set contains two elements {d1 , d2 }, and
d1 d2
the loss function is defined by θ1 1 4
θ2 3 2
The space of decision rules contains three rules defined by rα (x) = d1 if x =
0, . . . , α − 1 and rα (x) = d2 otherwise, for α ∈ {1, 2, 3}.
(2.1) [2 points] Compute the risk function of the three decision rules r1 , r2 , r3 .
(2.2) [2 points] Find the minimax decision rule in this set.
(2.3) [2 points] Find the bayesian decision rule for the prior distribution giving
a probability of 1/10 to the parameter θ = 1/100.
M1 ECO-STAT 2

Exercise 3. [4 points]
Let X1 , . . . , Xn be a sample from the exponential distribution with cumulative
distribution function  x
Fθ (x) = 1 − exp − .
θ
The uncentered moments of this distribution are given by E(X r ) = r! θr .
Pn Pn
(3.1) [2 points] Let Un = n1 i=1 Xi and Vn = n1 i=1 Xi2 . What is the asymp-
totic distribution of the couple (Un , Vn ) ?
√
(3.2) [2 points] What is the asymptotic distribution of Wn = Un + Vn ?

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