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hw4 Fall18

The document discusses four problems related to maximum likelihood estimation and robust statistics. Problem 1 covers distributions of linear transformations of random vectors and finding transformations to identity covariance. Problem 2 covers MLE, exact distribution, and consistency of MLE for uniform distributions. Problem 3 covers sample mean, mean absolute deviation, and robustness to outliers. Problem 4 asks to find the MLE of the probability of default within 10 days given an exponential distribution.

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9 views1 page

hw4 Fall18

The document discusses four problems related to maximum likelihood estimation and robust statistics. Problem 1 covers distributions of linear transformations of random vectors and finding transformations to identity covariance. Problem 2 covers MLE, exact distribution, and consistency of MLE for uniform distributions. Problem 3 covers sample mean, mean absolute deviation, and robustness to outliers. Problem 4 asks to find the MLE of the probability of default within 10 days given an exponential distribution.

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백민영/금융수학과
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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CS/ECE 761

Homework 4
1. Suppose x is a d-dimensional vector and x ∼ N (0, Σ).
(a) if w ∈ Rd , what is the distribution of wT x?
(b) Find a matrix A so that the covariance of z = Ax is identity.
iid
2. Let x1 , . . . , xn ∼ Uniform(0, θ).

a. Find the MLE θbn .


b. Give a mathematical expression for the exact distribution of θbn .
c. Show that the MLE is consistent in MSE; i.e., E[|θbn − θ|2 ] → 0 as n → ∞. Hint:
Use the result in part (b) to compute the mean and variance of θbn .
3. Robust estimation. There are different approaches to finding the “center” of a dataset.
Suppose x1 , . . . , xn are scalars. The sample mean is one statistic that summarizes the
central location of the data. Of course, if one assumes the data are i.i.d. realizations
of a N (θ, σ 2 ) random variable, then the sample mean is the MLE of θ. The sample
mean is the minimizer of n
X
e2 (θ) = (xi − θ)2
i=1
Another alternative is to minimize the sum of absolute errors
n
X
e1 (θ) = |xi − θ|
i=1

The minimizer of e1 has some nice robustness properties, which you will investigate in
this problem. It can also be viewed as the MLE of θ if the data are assumed to be
1 −|x−θ|/b
i.i.d. realizations from a Laplacian distribution of the form p(x; θ) = 2b e , where
b > 0.
a. Find closed-form expressions for θbi = arg minθ ei (θ), i = 1, 2.
b. Suppose that n = 3 and (x1 , x2 , x3 ) = (1.1, 0.9, 1.0). What are θbi , i = 1, 2 in this
case?
c. Suppose that the value of x3 was misrecorded as x3 = 100.0 instead of 1.0. What
are θbi , i = 1, 2 in this case? Which estimator is more robust to this sort of error?
4. Suppose we are monitoring credit card payments for a population of N people, and
model the number of days (τ ) that will pass before each person defaults on their
payments as independent, identically exponentially distributed random variables with
parameter θ > 0. That is, for i = 1, . . . , N , τi ∼ exp(θ), so that p(τi |θ) = θe−τi θ . If a
new person applies for a credit card, and we assume that his/her time to default follows
the same distribution as the N previous people we’ve monitored, and is independent
of those people, what is the maximum likelihood R b estimate of the probability of this
person defaulting in less than 10 days? (HINT: a te dx = e−ta − e−tb .)
−xt

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