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Variance MLE

The document discusses the maximum likelihood estimator (MLE) and its variance. It provides examples of calculating the asymptotic variance of the MLE for parameters of different distributions based on sample data, including the exponential, lognormal and other distributions. It also discusses using the delta method to approximate the variance of functions of MLEs, such as probabilities and quantiles.

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Gabriella Angelica Jemima Hasian
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80 views7 pages

Variance MLE

The document discusses the maximum likelihood estimator (MLE) and its variance. It provides examples of calculating the asymptotic variance of the MLE for parameters of different distributions based on sample data, including the exponential, lognormal and other distributions. It also discusses using the delta method to approximate the variance of functions of MLEs, such as probabilities and quantiles.

Uploaded by

Gabriella Angelica Jemima Hasian
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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14.

The information associated with the maximum likelihood estimator of a parameter  is 4n,
where n is the number of observations.

Calculate the asymptotic variance of the maximum likelihood estimator of 2 .

(A) 1/(2n)

(B) 1/n

(C) 4/n

(D) 8n

(E) 16n

Chapter 31. Variance MLE


69. You fit an exponential distribution to the following data:
1000 1400 5300 7400 7600

Calculate the coefficient of variation of the maximum likelihood estimate of the mean,  .

(A) 0.33

(B) 0.45

(C) 0.70

(D) 1.00

(E) 1.21

Chapter 31. Variance MLE

- 45 -
179. The time to an accident follows an exponential distribution. A random sample of size two
has a mean time of 6.

Let Y denote the mean of a new sample of size two.

Calculate the maximum likelihood estimate of Pr(Y  10) .

(A) 0.04

(B) 0.07

(C) 0.11

(D) 0.15

(E) 0.19

Chapter 31. Variance MLE


180. The time to an accident follows an exponential distribution. A random sample of size two
has a sample mean time of 6.

Let Y denote the mean of a new sample of size two.

Calculate the delta method approximation of the variance of the maximum likelihood
estimator of FY (10) .

(A) 0.08

(B) 0.12

(C) 0.16

(D) 0.19

(E) 0.22

Chapter 31. Variance MLE

- 116 -
225. You are given:
(i) Fifty claims have been observed from a lognormal distribution with unknown
parameters  and  .

(ii) The maximum likelihood estimates are ̂  6.84 and ̂  1.49 .

(iii) The covariance matrix of ̂ and ˆ is:

0.0444 0 
 0 0.0222

(iv) The partial derivatives of the lognormal cumulative distribution function are:

F  ( z ) F  z ( z )
 and 
   

(v) An approximate 95% confidence interval for the probability that the next claim
will be less than or equal to 5000 is [L, U]

Calculate L.

(A) 0.73

(B) 0.76

(C) 0.79

(D) 0.82

(E) 0.85

Chapter 31. Variance MLE

-146-
229. A random sample of size n is drawn from a distribution with probability density function:

f ( x)  , 0  x  ,   0
(  x)2
Calculate the asymptotic variance of the maximum likelihood estimator of  .

3 2
(A)
n

1
(B)
3n 2

3
(C)
n 2

n
(D)
3 2

1
(E)
3 2

Chapter 31. Variance MLE

-148-
277. You are given:
(i) Loss payments for a group health policy follow an exponential distribution with
unknown mean.

(ii) A sample of losses is:

100 200 400 800 1400 3100

Using the delta method, calculate the approximation of the variance of the maximum
likelihood estimator of S(1500).

(A) 0.019

(B) 0.025

(C) 0.032

(D) 0.039

(E) 0.045

Chapter 31. Variance MLE

-182-

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