Homework 6
due in class, Tuesday November 5
From the text, problems 6.1 (parts b and d only), 6.7 (parts b and d
only; hint: to show consistency, consider using Slutsky's theorem and
the fact that if a sequence converges in distribution to a constant,
then it converges in probability to that constant), 6.9, 6.10, and
6.12.
Here are the problems written out, in case you don't have the text:
- 6.1: Let X_1, ..., X_n be a random sample from each of the
distributions having the following probability density functions:
(b) f(x; theta) = theta * x^(theta - 1), 0 < x < 1, 0 <
theta < infinity, zero elsewhere
(d) f(x; theta) = 1/2 * exp( - | x - theta | ), where |x| is
the absolute value of x, and the ranges of x and theta are
the real line
In each case, find the mle theta-hat of theta.
- 6.7: For each of the distributions in exercise 6.1, find an
estimator of theta by the method of moments and show that it
is consistent (hint: to show consistency, consider using
Slutsky's theorem and the fact that if a sequence converges
in distribution to a constant, then it converges in
probability to that constant) .
- 6.9: Let X_1, ..., X_n be iid each with a distribution with pdf
f(x;theta) = (1/theta) exp( - x/theta ), 0 < x < infinity,
zero elsewhere. Find the mle of P(X <= 2).
- 6.10: Let X have a binomial distribution with parameters n and
p. The variance of X/n is p(1-p)/n; this is sometimes
estimated by the mle X/n * (1 - X/n) / n. Is this an
unbiased estimator of p(1-p)/n? If not, can you construct
one by multiplying this one by a constant?
- 6.12: Let Y_1 < Y_2 < ... < Y_n be the order statistics of a
random sample of size n from the uniform distribution of the
continuous type over the closed interval [theta - rho, theta
+ rho]. Find the maximum likelihood estimators for theta
and rho. Are these two unbiased estimators?