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N Be A Random Sample From The Distribution

This document provides a statistical analysis of a random sample from an exponential distribution. It includes: (1) finding the expected value and moment estimator of the distribution parameter λ; (2) deriving the maximum likelihood estimator of λ; and (3) calculating various probabilities and properties of the distribution and estimators. The document asks the reader to solve these statistical problems for given samples and parameter values.

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35 views

N Be A Random Sample From The Distribution

This document provides a statistical analysis of a random sample from an exponential distribution. It includes: (1) finding the expected value and moment estimator of the distribution parameter λ; (2) deriving the maximum likelihood estimator of λ; and (3) calculating various probabilities and properties of the distribution and estimators. The document asks the reader to solve these statistical problems for given samples and parameter values.

Uploaded by

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Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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STAT 410

1.

Let > 0 and let X 1 , X 2 , , X n be a random sample from the distribution


with the probability density function

f ( x; ) = 2 2 x 3 e x ,
2

a)

x > 0.

Find E ( X k ), k > 4.
Hint 1:
Hint 2:

Consider u = x 2 or u = x 2.

( a ) = u a 1 e u du , a > 0.
0

b)

Obtain a method of moments estimator of , .

That is, if E ( X ) = h ( ), solve X = h ( ) for .


Suppose n = 5,

and

x 1 = 0.6, x 2 = 1.1, x 3 = 2.7, x 4 = 3.3, x 5 = 4.5.

Find a method of moments estimate of .

c)

Obtain the maximum likelihood estimator of , .


That is, find = arg max L ( ) = arg max ln L ( ),
where L ( ) =

f ( xi ; ) .
i =1

Suppose n = 5,

and

x 1 = 0.6, x 2 = 1.1, x 3 = 2.7, x 4 = 3.3, x 5 = 4.5.

Find the maximum likelihood estimate of .

d)

What is the probability distribution of W = X 2 ?

e)

n
What is the probability distribution of Y = X i2 ?
i =1

f)

Suppose = 0.2. Find P ( X > 5 ) = P ( X 2 > 25 ).


Hint:

If T has a Gamma ( , = 1 ) distribution, where is an integer, then

F T ( t ) = P ( T t ) = P ( Y ) and P ( T > t ) = P ( Y 1 ),
where Y has a Poisson ( t ) distribution.
g)

Suppose = 0.2. Find P ( 3 < X < 4 ).

h)

n
Suppose n = 5 and = 0.2. Find P ( X i2 < 35 ).
i =1

i)

Suppose = 0.2. Find P ( 1.10 < X < 4.41 ).


Hint:

If T has a Gamma ( , = 1 ) distribution, where is an integer, then


2T
= 2 T has a 2 ( 2 ) distribution ( a chi-square distribution with

2 degrees of freedom ).
j)

Suppose = 0.2. Find a such that P ( X 2 < a ) = 0.10.

k)

Suppose = 0.2. Find b such that P ( X > b ) = 0.05.

l)

n
Suppose n = 5 and = 0.2. Find c such that P ( X i2 < c ) = 0.01.
i =1

m)

n
1
Let Y = X i2 . Find E (
Y
i =1

n)

Is the maximum likelihood estimator of , , an unbiased estimator of ?

).

Hint: Recall part (e).

If is not an unbiased estimator of , construct an unbiased estimator of


based on .

o)

Find MSE ( ) = E [ ( )

( bias ( ) ) 2 + Var ( ).

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