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ch10sol

# ch10sol - Chapter 10 Asymptotic Evaluations 10.1 First...

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Chapter 10 Asymptotic Evaluations 10.1 First calculate some moments for this distribution. E X = θ/ 3 , E X 2 = 1 / 3 , Var X = 1 3 - θ 2 9 . So 3 ¯ X n is an unbiased estimator of θ with variance Var(3 ¯ X n ) = 9(Var X ) /n = (3 - θ 2 ) /n 0 as n → ∞ . So by Theorem 10.1.3, 3 ¯ X n is a consistent estimator of θ . 10 . 3 a. The log likelihood is - n 2 log (2 πθ ) - 1 2 ( x i - θ ) /θ. Differentiate and set equal to zero, and a little algebra will show that the MLE is the root of θ 2 + θ - W = 0. The roots of this equation are ( - 1 ± 1 + 4 W ) / 2, and the MLE is the root with the plus sign, as it has to be nonnegative. b. The second derivative of the log likelihood is ( - 2 x 2 i + ) / (2 θ 3 ), yielding an expected Fisher information of I ( θ ) = - E θ - 2 X 2 i + 2 θ 3 = 2 + n 2 θ 2 , and by Theorem 10.1.12 the variance of the MLE is 1 /I ( θ ). 10 . 4 a. Write X i Y i X 2 i = X i ( X i + i ) X 2 i = 1 + X i i X 2 i . From normality and independence E X i i = 0 , Var X i i = σ 2 ( μ 2 + τ 2 ) , E X 2 i = μ 2 + τ 2 , Var X 2 i = 2 τ 2 (2 μ 2 + τ 2 ) , and Cov( X i , X i i ) = 0. Applying the formulas of Example 5.5.27, the asymptotic mean and variance are E X i Y i X 2 i 1 and Var X i Y i X 2 i 2 ( μ 2 + τ 2 ) [ n ( μ 2 + τ 2 )] 2 = σ 2 n ( μ 2 + τ 2 ) b. Y i X i = β + i X i with approximate mean β and variance σ 2 / ( 2 ).

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10-2 Solutions Manual for Statistical Inference c. 1 n Y i X i = β + 1 n i X i with approximate mean β and variance σ 2 / ( 2 ). 10 . 5 a. The integral of E T 2 n is unbounded near zero. We have E T 2 n > n 2 πσ 2 1 0 1 x 2 e - ( x - μ ) 2 / 2 σ 2 dx > n 2 πσ 2 K 1 0 1 x 2 dx = , where K = max 0 x 1 e - ( x - μ ) 2 / 2 σ 2 b. If we delete the interval ( - δ, δ ), then the integrand is bounded, that is, over the range of integration 1 /x 2 < 1 2 . c. Assume μ > 0. A similar argument works for μ < 0. Then P ( - δ < X < δ ) = P [ n ( - δ - μ ) < n ( X - μ ) < n ( δ - μ )] < P [ Z < n ( δ - μ )] , where Z n(0 , 1). For δ < μ , the probability goes to 0 as n → ∞ . 10 . 7 We need to assume that τ ( θ ) is differentiable at θ = θ 0 , the true value of the parameter. Then we apply Theorem 5.5.24 to Theorem 10.1.12. 10 . 9 We will do a more general problem that includes a ) and b ) as special cases. Suppose we want to estimate λ t e - λ /t ! = P ( X = t ). Let T = T ( X 1 , . . . , X n ) = 1 if X 1 = t 0 if X 1 = t. Then E T = P ( T = 1) = P ( X 1 = t ), so T is an unbiased estimator. Since X i is a complete sufficient statistic for λ , E( T | X i ) is UMVUE. The UMVUE is 0 for y = X i < t , and for y t , E( T | y ) = P ( X 1 = t | X i = y ) = P ( X 1 = t, X i = y ) P ( X i = y ) = P ( X 1 = t ) P ( n i =2 X i = y - t ) P ( X i = y ) = { λ t e - λ /t ! }{ [( n - 1) λ ] y - t e - ( n - 1) λ / ( y - t )! } ( ) y e - /y ! = y t ( n - 1) y - t n y . a. The best unbiased estimator of e - λ is (( n - 1) /n ) y . b. The best unbiased estimator of λe - λ is ( y/n )[( n - 1) /n ] y - 1 c. Use the fact that for constants a and b , d λ a b λ = b λ λ a - 1 ( a + λ log b ) , to calculate the asymptotic variances of the UMVUEs. We have for t = 0, ARE n - 1 n n ˆ λ , e - λ = e - λ ( n - 1 n ) log ( n - 1 n ) n 2 ,
Second Edition 10-3 and for t = 1 ARE n n - 1 ˆ λ n - 1 n n ˆ λ , ˆ λe - λ = ( λ - 1) e - λ n n - 1 ( n - 1 n ) 1 + log ( n - 1 n ) n 2 .

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