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Stat400 hw09 Fa24

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8 views3 pages

Stat400 hw09 Fa24

Uploaded by

ajadgamezzz
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© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Homework 09

Due Wednesday, October 30, 11:59pm


STAT 400, Fall 2024, D. Unger

You may use R code and output as an option for showing work. It can be copied and pasted
to your electronic file (LaTeX, notewriter, etc.) or copied by handwriting to a pen and paper
submission that you later scan.

Exercise 1
Suppose a random variable X has the following probability distribution.

x 10 11 12 13

f(x) 0.20 0.40 0.30 0.10

(a) Find the moment generating function of X, MX(t).


(b) Find the population mean of X using each method below and verify they are equal.
i. Use the moment generating function.
ii. Use the definition of expected value, i.e. E 𝑋 ∑𝑥 ∙ 𝑓 𝑥 .
(c) Find the population variance of X using the moment generating function.
(You are advised to double check your variance answer using the expected value
method, but it is not required for the homework submission.)

Exercise 2
Suppose the moment generating function of a random variable X is
𝑀 𝑡 0.10 0.15𝑒 0.20𝑒 0.25𝑒 0.30𝑒
(a) Find the probability mass function of X, f (x).
(b) Find the population mean of X using each method below and verify they are equal.
i. Use the moment generating function.
ii. Use the definition of expected value, i.e. E 𝑋 ∑𝑥 ∙ 𝑓 𝑥 .
Exercise 3
Let X1, X2, … , Xn be an iid random sample of size n from a Poisson distribution with mean λ,
where λ > 0.
(a) What is the moment generating function for X, a Poisson random variable? Derive the
mgf using the definition and show your work.
(b) Find E[X] using the moment generating function of X.
(c) Find Var[X] using the moment generating function of X.

(d) Find the method of moments estimator of λ, 𝜆.

(e) Find the maximum likelihood estimator of λ, 𝜆.

(f) Which of the estimators is unbiased for λ? The MME (𝜆), the MLE (𝜆), neither, or both?

(g) The mean squared error (MSE) of an estimator 𝜃 is defined as

MSE 𝜃 Bias 𝜃 Var 𝜃 .

Calculate the mean squared error of 𝜆. (This will be in terms of λ.)

Exercise 4
Let X1, X2,…, Xn be an iid random sample where Xi ~ Normal(µ, σ2), µ unknown, and σ
known.
(a) Show that 𝜇̂ 𝑋 is the MLE for µ.

Let X1, X2,…, Xn be an iid random sample where Xi ~ Normal(µ, σ2), µ known, and σ
unknown.

(b) Show that 𝜎 ∑ 𝑋 𝜇 is the MLE for σ2.

In (a) and (b), two similar exercises are explored: finding the MLE for µ when σ2 was
known, and finding the MLE for σ2 when µ was known. This time, both are unknown.
Let X1, X2,…, Xn be an iid random sample where Xi ~ Normal(µ, σ2), µ unknown, and σ2
unknown.
(c) Find the MLE’s for both µ and σ2.
Hint: The likelihood and log-likelihood functions for both will be the same. But when you
get to Step 3, you’ll get two expressions: one from taking the derivative with respect to µ,
and the other by taking the derivative with respect to σ2.
(d) Show that the MLE 𝜎 is a biased estimator for σ2 when µ is unknown. Calculate the
value of the bias of 𝜎 .
(e) Based on your answers to parts (c) and (d), create an unbiased estimator for σ2 when µ
is unknown. Show that this new statistic based on the MLE 𝜎 is unbiased.
Hint: What is the name/symbol of that “new statistic”? (You have seen it before.)

Exercise 5
Let θ > 0 and Let X1, X2,…, Xn be an iid random sample from the distribution with the
probability density function
𝜃 √
𝑓 𝑥 𝑒 , 𝑥 0.
2√𝑥
(a) Find the method of moments estimator, 𝜃, of θ.

(b) Find the maximum likelihood estimator, 𝜃, of θ.


(c) Suppose n = 4 where x1 = 0.01, x2 = 0.04, x3 = 0.09, x4= 0.49, and x5 = 0.36.
i. Find the method of moments estimate, 𝜃, of θ.

ii. Find the maximum likelihood estimate, 𝜃, of θ.

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