SQB7024 STATISTICAL INFERENCE
Tutorial 1
1. Mood 6.12 Let 𝑋𝑋1 , 𝑋𝑋2 , . . . , 𝑋𝑋𝑛𝑛 be a random sample from the discrete density function
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𝑓𝑓(𝑥𝑥; 𝜃𝜃) = 𝜃𝜃 𝑥𝑥 (1 − 𝜃𝜃)1−𝑥𝑥 𝐼𝐼(0,1) (𝑥𝑥), where 0 ≤ 𝜃𝜃 ≤ .
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Find the method-of-moment and maximum- likelihood estimator of 𝜃𝜃.
2 Mood 7.40 Let 𝑋𝑋1 , 𝑋𝑋2 , . . . , 𝑋𝑋𝑛𝑛 be a random sample from 𝑁𝑁(𝜃𝜃, 𝜃𝜃), 𝜃𝜃 > 0. Is 𝜃𝜃 either a
location or scale parameter?
3. Mood 7.41 Let 𝑋𝑋1 , 𝑋𝑋2 , . . . , 𝑋𝑋𝑛𝑛 be a random sample from 𝑁𝑁(𝜃𝜃, 𝜃𝜃 2 ), 𝜃𝜃 > 0. Is 𝜃𝜃 either a
location or scale parameter?
4. Given the following pdf:
𝑙𝑙𝑙𝑙𝑙𝑙 𝜃𝜃
(a) 𝑓𝑓(𝑥𝑥; 𝜃𝜃) = 𝜃𝜃 𝑥𝑥 𝐼𝐼(0,1) (𝑥𝑥), 𝜃𝜃 > 1 from Mood 6.35
𝜃𝜃−1
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(b) 𝑓𝑓(𝑥𝑥; 𝜃𝜃) = 𝐼𝐼 (𝑥𝑥), 𝜃𝜃 > 0 from Mood 6.33
2𝜃𝜃 (−𝜃𝜃,𝜃𝜃)
(c) 𝑓𝑓(𝑥𝑥; 𝜃𝜃) = 𝑒𝑒 −(𝑥𝑥−𝜃𝜃) 𝐼𝐼(𝜃𝜃,∞) (𝑥𝑥), −∞ < 𝜃𝜃 < ∞ from Mood 6.44
𝑒𝑒 −𝜃𝜃 𝜃𝜃𝑥𝑥
(d) 𝑓𝑓(𝑥𝑥; 𝜃𝜃) = 𝐼𝐼(0,1,2,...) (𝑥𝑥), 𝜃𝜃 > 0 from Mood 6.48
𝑥𝑥!
Determine whether 𝜃𝜃 is a location or scale parameter.
5. Suppose the common pdfs is the exponential(𝜆𝜆) density given by
−𝝀𝝀𝝀𝝀 𝟎𝟎 < 𝒘𝒘 < ∞
𝒈𝒈(𝒘𝒘) = �𝝀𝝀𝒆𝒆
𝟎𝟎 𝒆𝒆𝒆𝒆𝒆𝒆𝒆𝒆𝒆𝒆𝒆𝒆𝒆𝒆𝒆𝒆𝒆𝒆
Find the mle of 𝜆𝜆 for a random sample of size 𝑛𝑛 drawn from the distribution.
6. Let 𝑋𝑋1 , 𝑋𝑋2 , . . . , 𝑋𝑋𝑛𝑛 be iid with density
𝑒𝑒𝑒𝑒𝑒𝑒{−(𝑥𝑥−𝜃𝜃)}
𝑓𝑓(𝑥𝑥; 𝜃𝜃) = (1+𝑒𝑒𝑒𝑒𝑒𝑒{−(𝑥𝑥−𝜃𝜃)})2, −∞ < 𝑥𝑥 < ∞, −∞ < 𝜃𝜃 < ∞
Find the mle of 𝜃𝜃.
7. Mood Ex 7.16 Let 𝑋𝑋 be a single observation from 𝑁𝑁(0, 𝜃𝜃), 𝜃𝜃 = 𝜎𝜎 2 . Is |𝑋𝑋| a sufficient
statistic?
8. Mood Ex 7.17 Let 𝑋𝑋 have the density
𝜃𝜃 |𝑥𝑥|
𝑓𝑓(𝑥𝑥; 𝜃𝜃) = � � (1 − 𝜃𝜃)1−|𝑥𝑥| 𝐼𝐼{−1,0,1} (𝑥𝑥), 0 ≤ 𝜃𝜃 ≤ 1.
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(a) Is 𝑋𝑋 a sufficient statistic?
(b) Is |𝑋𝑋| a sufficient statistic?
9. Mood Ex 7.18 Let 𝑋𝑋1 , 𝑋𝑋2 , . . . , 𝑋𝑋𝑛𝑛 be a random sample from the density
𝑓𝑓(𝑥𝑥; 𝜃𝜃) = 𝜃𝜃𝑥𝑥 −2 𝐼𝐼[𝜃𝜃,∞) (𝑥𝑥)
where 𝜃𝜃 > 0.
(a) Find the maximum-likelihood estimator of 𝜃𝜃.
(b) Is 𝑌𝑌1 = 𝑚𝑚𝑚𝑚𝑚𝑚[𝑋𝑋1 , . . . , 𝑋𝑋𝑛𝑛 ] a sufficient statistics?
10. Mood Ex 7.19 Let 𝑋𝑋1 , 𝑋𝑋2 , . . . , 𝑋𝑋𝑛𝑛 be a random sample from
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𝑓𝑓(𝑥𝑥; 𝜃𝜃) = 𝑒𝑒 −|𝑥𝑥−𝜃𝜃| , −∞ < 𝜃𝜃 < ∞.
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Discuss sufficiency for this density.
[Hint: 𝑓𝑓(𝑥𝑥; 𝜃𝜃) is pdf of double exponential distribution with mean 𝜃𝜃 and variance 2]
