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Test Set 2 SI

The document provides 10 statistical inference problems involving maximum likelihood estimation. For each problem, the document finds the maximum likelihood estimators of parameters of different probability distributions based on random samples. These distributions include uniform, Pareto, lognormal, bivariate normal, inverse Gaussian, multinomial, truncated double exponential and Weibull distributions.

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45 views

Test Set 2 SI

The document provides 10 statistical inference problems involving maximum likelihood estimation. For each problem, the document finds the maximum likelihood estimators of parameters of different probability distributions based on random samples. These distributions include uniform, Pareto, lognormal, bivariate normal, inverse Gaussian, multinomial, truncated double exponential and Weibull distributions.

Uploaded by

ReginaldRemo
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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Statistical Inference

Test Set 2

1. Let X 1 , X 2 ,..., X n be a random sample from a U ( , 2 ) population. Find MLE of .


2. Let X 1 , X 2 ,..., X n be a random sample from a Pareto population with density

f X ( x=
) , x > , > 0, > 2. Find the MLEs of , .
x +1
3. Let X 1 , X 2 ,..., X n be a random sample from a U ( , ) population. Find the MLE of .
4. Let X 1 , X 2 ,..., X n be a random sample from a lognormal population with density
1 1
f X=
( x) exp 2 (log e x ) 2 , x > 0. Find the MLEs of and 2 .
x 2 2
5. Let ( X 1 , Y1 ), ( X 2 , Y2 ),..., ( X n , Yn ) be a random sample from a bivariate normal population
with parameters 1 , 2 , 12 , 22 , . Find the MLEs of parameters.
6. Let X 1 , X 2 ,..., X n be a random sample from an inverse Gaussian distribution with density
( x )2
1/2

f X ( x) = 3
exp , x > 0 . Find the MLEs of parameters.
2 x 2 2 x
k
7. Let ( X 1 , X 2 ,..., X k ) have a multinomial distribution with parameters n = X i ,
i =1
k
p1 , , pk ; 0 p1 , , pk 1, p j =
1, where n is known. Find the MLEs of p1 , , pk .
j =1

8. Let one observation be taken on a discrete random variable X with pmf p ( x | ) , given
below, where ={1, 2,3} Find the MLE of .


1 2 3
1 1/2 1/4 1/4
x 2 3/5 1/5 1/5
3 1/3 1/2 1/6
4 1/6 1/6 2/3

9. Let X 1 , X 2 ,..., X n be a random sample from the truncated double exponential distribution
with the density
e | x|
= f X ( x) , | x | < , > 0.
2(1 e )
Find the MLE of .

10. Let X 1 , X 2 ,..., X n be a random sample from the Weibull distribution with the density

f X ( x) x 1e x , x > 0, > 0, > 0.
=
Find MLE of when is known.
Hints and Solutions

1
1. The likelihood function is L(=
, x) , < x(1) x(2) x( n ) < 2 , > 0. Clearly
(3 ) n
it is maximized with respect to , when takes its infimum. Hence,
X
ML max X (1) , ( n ) .
=
2
n n
( , , x )
2. The likelihood function is L= n
, x(1) > , > 0, > 2. L is maximized
( xi ) +1

i =1

with respect to when takes its maximum. Hence ML = X (1) . Using this we can
n {x(1) }n
as L( , x )
rewrite the likelihood function= n
, > 2. The log likelihood is
( xi ) +1

i =1

n
x ) n log + n log x(1) ( + 1) log xi . This can be easily maximized
log L ( , =
i =1
1
1 X
with respect to and we get ML = log (i ) .
n X (1)
max ( X (1) , X ( n ) ) =
3. Arguing as in Sol. 1, we get ML = max | X i | .
1i n

4. Directly maximizing the log-likelihood function with respect to and 2 , we get


1 1
= ML
n
=
log X i , ML
2

n
(log X i ML ) 2 .
5. The maximum likelihood estimators are given by
1 n 1 n 1 n
=
1 X ,
=

=
2 Y , =
2
1 i
ni1 =
( X X ) 2
, =
2
2 i
n i 1=
(Y Y ) 2
,
=
( X i X )(Yi Y ) / (1 2 ).
ni1

6. The maximum likelihood estimators are given by


1
1 n 1 1
= ML X=
, ML

n i =1 X i X
7. The maximum likelihood estimators are given by
X1 Xk
= p1 = , , p k
n n
8.=ML 1,= if x 1, 2
= 2,= if x 3
= 3,= if x 4
max ( X , X
9. =
ML (1) (n) )=
max | X i |.
1i n

n
10. ML =
xi

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