Dr. Hackney STA Solutions pg 125

Dr. Hackney STA Solutions pg 125 - 8-4 Solutions Manual for...

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Unformatted text preview: 8-4 Solutions Manual for Statistical Inference b. The LRT statistic is (x) = sup (1/ n )e-i xi / sup, ( n / n )( i -1 -i x / . i xi ) e ^ The numerator is maximized at 0 = x. For fixed , the denominator is maximized at ^ = xi /n. Thus i (x) = x-n e-n ^ sup ( n / )( n i -1 ^ -i x / i = xi ) e x-n n n / )( sup ( ^ i xi ) -1 . The denominator cannot be maximized in closed form. Numeric maximization could be used to compute the statistic for observed data x. 8.8 a. We will first find the MLEs of a and . We have n L(a, | x) log L(a, | x) Thus log L a log L n = i=1 n 2 1 e-(xi -) /(2a) , 2a = 1 1 (xi - )2 . - log(2a) - 2 2a i=1 = i=1 n - - i=1 1 1 2 + (x - ) 2a 2a2 i = - n 1 + 2a 2a2 n (xi - )2 i=1 set = 0 = 1 1 1 2 + (x - ) + (xi - ) 2 2a2 i a n n 1 = - + 2 2a2 (xi - )2 + i=1 n - n x a set = 0. ^ We have to solve these two equations simultaneously to get MLEs of a and , say a and . ^ Solve the first equation for a in terms of to get a= 1 n n (xi - )2 . i=1 Substitute this into the second equation to get - ^ So we get = x, and a= ^ 1 n x n n n n(-) x + + = 0. 2 2 a 2 ^ , x (xi - x)2 = i=1 the ratio of the usual MLEs of the mean and variance. (Verification that this is a maximum is lengthy. We omit it.) For a = 1, we just solve the second equation, which gives a quadratic in that leads to the restricted MLE ^ R = -1+ 1+4(^ +2 ) x 2 . 2 ...
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This note was uploaded on 02/03/2012 for the course STA 1014 taught by Professor Dr.hackney during the Spring '12 term at UNF.

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