Scribd
Upload
8 views3 pages

Tut2 Toe

Uploaded by

mashiringwaninyasha2003
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
8 views3 pages

Tut2 Toe

Uploaded by

mashiringwaninyasha2003
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
You are on page 1/ 3

Tutorial 2 HSTS201

int
March 22, 2019

1. Show that the mean X̄ of a random sample of size n from a distribu-


tion with pdf f (x; θ) = 1/θe−(x/θ) , 0 ≤ x ≤ ∞, zero otherwise, is an
unbiased estimator of θ and has variance θ 2 /n.

Solution

Let f (x; θ) = 1/θe−(x/θ) , 0 ≤ x ≤ ∞, this is an exponential distribution


with mean θ and variance θ 2
Thus,

1X 1 X 1X 1X 1
E(X̄) = E( X) = E( X) = E(X) = θ = nθ = θ
n n n n n

1X 1 X 1 X
V ar(X̄) = V ar( X) = 2 V ar( X) = 2 V ar(X)
n n n
1 X 2 1
= 2 θ = 2 nθ2 = θ/n
n n
2. Let X1 , X2 , . . ., Xn denote a random sample from a normal distribu-
Xi2 /n
P
tion with mean zero and variance θ, 0 ≤ x ≤ ∞, . Show that
is an unbiased estimator of θ and has variance 2θ2 /n.

Solution
Xi2 /σ 2 χ2 (n).
P
It is known that is Hence
X X
E[ Xi2 /σ 2 ] = n and V ar[ Xi2 /σ 2 ] = 2n

1
Thus, X
E[ Xi2 /θ] = n
n X 2
E[ Xi /θ] = n
n
1 X 2
E[ Xi /θ] = 1
n
1 X 2
E[ Xi /n] = 1
θ
X
E[ Xi2 /n] = θ

X
V ar[ Xi2 /θ] = 2n
n2 X
2
V ar[ Xi2 /θ] = 2n
n
1 X
V ar[ Xi2 /θ] = 2/n
n2
1 X
V ar[ Xi2 /n] = 2/n
θ2
X
V ar[ Xi2 /n] = 2θ2 /n

3. Let Y1 ≤ Y2 ≤ Y3 be the order statistics of a random sample of size


3 from the uniform distribution having pdf f (x; θ) = l/θ, 0 ≤ x ≤
∞, 0 ≤ θ ≤ ∞, zero elsewhere. Show that 4Y1 , 2Y2 , and 34 Y3 are all
unbiased estimators of θ. Find the variance of each of these unbiased
estimators.

Solution
It can be show that Y1 /θ, Y2 /θ, Y3 /θ follows a beta distribution with
parameters (α, β )=(1,3), (2,2) and (3,1) respectively. Thus

1
E[4Y1 ] = 4θE[Y1 /θ] = 4θ × =θ
4
Similarly,
1
E[2Y2 ] = 2θE[Y2 /θ] = 2θ × =θ
2

2
4 4 4 3
E[ Y3 ] = θE[Y3 /θ] = θ × = θ
3 3 3 4

3 3
V ar[4Y1 ] = (4θ)2 V ar[Y1 /θ] = (4θ)2 × = θ2
80 5
Similarly,
1 4 1
V ar[2Y2 ] = θ2 & V ar[ Y3 ] = θ2
5 3 15
4. Let X1 , X2 , . . ., Xn denote a random sample from a Poisson dis-
P
tribution with parameter θ , 0 ≤ θ ≤ ∞. Let Y = Xi and let
L[θ, δ(y)] = [θ − δ(y)]. If we restrict our considerations to decision
functions of the form δ(y) = b + θ/n, where b does not depend on y ,
show that R(θ, δ) = b2 + θ 2 /n. What decision function of this form
yields a uniformly smaller risk than every other decision function.

Solution
Since Xi follows Po(θ ), Y follows Po(nθ )
We have E(Y ) = nθ and V ar(Y ) = nθ Thus

R(θ, δ) = E(L[θ, δ(y)]) = E[(θ − b − y/n)2 ] = ........ = b2 + θ2 /n

You might also like