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MAL522Tut1 Inference

This document contains statistical inference problems related to topics like sample moments, order statistics, normal and uniform distributions, F-distributions, and transformations. It includes 17 problems covering concepts such as variances, means, probabilities, distributions, and transformations of random variables.

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Shashi Raj
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25 views

MAL522Tut1 Inference

This document contains statistical inference problems related to topics like sample moments, order statistics, normal and uniform distributions, F-distributions, and transformations. It includes 17 problems covering concepts such as variances, means, probabilities, distributions, and transformations of random variables.

Uploaded by

Shashi Raj
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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Department of Mathematics

MAL 522 (Statistical Inference)


Tutorial Sheet No. 1
∑n
1. Let mi = 1
n − X)i ; µi = E(X − µ)i , i = 1, 2, . . .. Prove that:
j=1 (Xj
( )
µ −µ2 µ −2µ2 µ −3µ2
(i) V ar(m2 ) = 4 n 2 − 2 4 n2 2 + 4 n3 2 .
(n−1)(n−2)
(ii) E(m3 ) = n2 µ3 .
2. Let X1 , X2 , . . . , Xn be a random sample from uniform distribution on the interval (0,1). Find the sampling
( n )1/n
∏
distribution of the sample geometric mean Xi .
i=1

3. Show that mr →P µr
4. Find Cov(X, s2 ) in terms of population moments. Under what conditions is Cov(X, s2 ) = 0 ?
5. If Xi , i = 1, 2 are(population moments
) of two normal distributed populations with mean µ and variance σ 2 .
Find n so that P | X1 − X2 |< 5 = 0.99. Justify your calculations.
σ

6. Let X1 , . . . , Xn be a random sample from a normal distributed population, i.e., N (µ, σ 2 ). Find a function g
2 2
of the sample variance √ s , that satisfies E(g(s )) = σ.
2 2
(Hint: Try g(s ) = c s )
X(1)
7. A random sample of size n is obtained from a unform distribution on the interval (0, 1). Show that X(n) and
X(n) are independent random variables.
( 5 )
∑
2
8. Let X1 , . . . , Xn be a sample from N (0, 4). Find P Xi > 5.75
i=1

9. Derive the pdf of the F -statistic with (m, n) degrees of freedom.


(m/n)F
10. Let F be a random variable having F -distribution with (m, n) degrees of freedom. Show that 1+(m/n)F has
beta distribution with parameters ( m n
2 , 2 ).
√ √
11. If X has χ2n -distribution, then show that: 2X − 2n − 1 →L Z ∼ N (0, 1)
12. Find the probability that the maximum of a random sample of size n from a population exceeds the population
median.
13. Let Z = min(X, Y ) where X,Y is a sample from N (0, 1). Find the distribution of Z 2 .
14. Let (X1 , Y1 ), . . . , (Xn , Yn ) be a random sample of size n on (X, Y ) such that V ar(X) = σ12 , V ar(Y ) =
σ22 and Cov(X, Y ) = ρσ1 σ2 . Show that E(S11 ) = ρσ1 σ2 , where S11 is the sample covariance.
15. Let X(1) , . . . , X(n) be an order statistic of a random sample of size n from an absolutely continuous distribution
function F (x). Show that the joint distribution of coverages U1 = F (X(1) ), U2 = F (X(2) )−F (X(1) ), . . . , Un =
∑n
F (X(n) ) − F (X(n−1) ) is uniform on the region {ui ≥ 0, i = 1, . . . , n, ui ≤ 1}.
i=1

16. Let X1 , . . . , Xn be a random sample from a distribution function F and let FN∗ (x) be the empirical distribution
function of the random sample. Find Cov(Fn∗ (x), Fn∗ (y)).
17. For a population with pdf f (x, θ) = θe−θx , x > 0, find a transformation g such that g(X)−g(1/θ) is AN (0, c),
where c is a constant not depending on θ.

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