STAT2006 Assignment 3 Solution

Due Date: 15:00, 24th March, 2015

1

1. (a) Note that the pdf of Y is fY (y) = 1 e y , y 0, > 0 and Y =



1
x 1
and the pdf of X, fX (x) =
exp
, x 1
2
2

y
1
X 1
. Therefore
=
2
x
2

(b) Note that E[Y ] = , V ar[Y ] = 2 . Therefore,

E[X] = E[1 + 2 Y ] = 1 + 2 E[Y ] = 1 + 2 , V ar[X] = V ar[1 + 2 Y ] = 22 V ar[Y ] = 2 22 .
n
n
1X
1X
2 and equate them with the theoretical moments:

Xi , V ,
(Xi X)
Denote X ,
n i=1
n i=1


1 + 2 = X

2 2
2 = V

V
1 =
X
2 = V /

i.e. The method-of-moments estimators for 1 , 2 are 1 = X

(c) As usual we can rewrite the likelihood function as
(
1
1
L(1 , 2 ; x1 , x2 , ..., xn ) = n n exp
2
2

n
X

V , 2 = V / respectively.

!)
xi n1

1{1 x(1) }

i=1

Therefore, when 1 >(x(1) , the indicator 1{

1 x(1) } = 0 L(1 , 2 ) = 0; when 1 x(1) ,
!)
n
X
n
1
L
= n+1 n+1 exp
xi n1
> 0 for any 2 > 0, i.e. it is strictly increasing
1
2 i=1
2
in 1 . Hence for any fixed 2 > 0, L is maximized when 1 = x(1) and thus the MLE of 1 , !
n
X
1

xi n1
1 = X(1) . On the other hand, note that ln L(1 , 2 ) = n ln n ln 2
2 i=1
for 1 x(1) . Differentiate the log-likelihood with respect to 2 and evaluate at 1 = x(1) , we
have
!
!

n
n
X
1
1X
ln L 
n
n
= + 2
xi nx(1) = 2
xi x(1) 2
2 1 =x(1)
2 2 i=1
2 n i=1

x x(1) )/
> 0 if 0 < 2 < (
= 0 if
2 = (
x x(1) )/

< 0 if
2 > (
x x(1) )/
X(1) )/.
Therefore the MLE of 2 , 2 = (X
2. (a) The density of X is

f (x) =

x1

if 0 x
otherwise

The likelihood function is

L(, ; x1 , x2 , ..., xn ) = (

n
n Y 1
)
(
xi ) 1{X(n) }1{X(1) 0}
i=1

because the likelihood function is decreasing with respect to , X(n) is the MLE of .
1


n
X
ln L 
n
= n ln x(n) +
ln xi = 0
=x(n)

i=1
=
=
Since

n
P
n ln x(n) ni=1 ln xi

2 ln L
n
=

<0
2
2

is the MLE of .
P
(b) x(n) = 25.0 , ni=1 ln xi = 43.95, from (a),
MLE = 12.59 , MLE = 25.0.
(c)

0.05 = P (X(n) / c) = P (allXi c) =

 0 n

= c 0 n

which implies that c = 0.05 0 n . Thus

0.95 = P (X(n) / > c) = P (X(n) /c > )
So { : < X(n) /(0.051/0 n )} is a 95% upper confidence limit for .
(d) From (b),
MLE = 12.59 and X(n) = 25.0, so the confidence interval is [25, 25/[0.051/(12.5914) ])
=[25, 25.43).
1
3. (a) MX (t) = E(etX ) = (1 t)P
, so
tW
2t/ n
Xi
i=1
MW (t) = E(e ) = E(e
) = E(e2t/X1 ) . . . E(e2t/Xn ) = (1 2t)n .
x
,
(b) [ 2 2n
(2n) 2
/2

2n
x
].
(2n)

1/2

(c) [46.049, 185.304].

4. (a) Note that 0 a < b as they are the quantiles of 2 (n 1). From the given constraint,




(n 1)S 2
1
2
1
1 = Pr a
b = Pr

2
b
(n 1)S 2
a
(r
)
r


2
2
2
(n 1)S 2
(n

1)S
(n

1)S
(n

1)S
= Pr
2
= Pr

b
a
b
a

2
2
(n

1)S
(n

1)S
So a confidence interval for 2 is in the form of
,
and a confidence
b #
a
"r
r
(n 1)S 2
(n 1)S 2
interval for is in the form of
,
.
b
a
r
r


(n 1)s2
(n 1)s2 p
1
1
2
The length of the latter interval is k =

= (n 1)s
a
b
a
b
n1
u
1
(b) Method 1: Note that the pdf of 2 (n 1) is g(u) = n1 n1 u 2 1 e 2 , u > 0
( 2 )2 2
Differentiate both sides of the constraint with respect to a, we have


ab
b
b
g(a)  a  n3
2
g(b)
g(a) = 0
=
=
e 2
a
a
g(b)
b

Using the results from part a),

k p
= (n 1)s2
a

1 b
3 +
3
2a 2
2b 2 a


=

p
b
(n 1)s2 e 2 
n

2b 2 a 2

n
2

a2

a e

n
2

2b

b e

Therefore for any local minimum, it must satisfy the condition for critical point:
a
b
n
n
k
= 0 a 2 e 2 b 2 e 2 = 0
a

Similarly, for the confidence interval of , we have k = (n 1)s

1 1

a b


and thus



b
n+1
b
1
k
(n 1)s2 e 2 n+1 a
1 b
2
= (n 1)s 2 + 2
=
(a 2 e 2 b 2 e 2 ) = 0
n+1
a
a
b a
b 2 a2
As a result, any local minimum (a, b) must satisfy
n+1
n+1
a
b
k
= 0 a 2 e 2 b 2 e 2 = 0
a

Method 2: The Lagrange function is



p
1
1
2
L = (n 1)s (G(a) G(b) (1 ))
a
b
. Differetiating the Lagrange function with respect to a, b and and set all of them to be zero:
p
L
3
1
(n 1)s2 a 2 g(a) = 0
a = p
2
3
L
= 12 (n 1)s2 b 2 + g(b) = 0
b
L
= G(b) G(a) (1 ) = 0

Therefore, by substituting g(a) and g(b) by the p.d.f of 2 (n 1) and substracting the first
equation by the second one above, we have a,b should satisfy
a

n+1
2

e 2 b

n+1
2

e 2 = 0.

For your interest:

Now we try to argue that there is a unique solution (a, b) to the system of

G(b) G(a) = 1
, and such solution minimize the length k subject to the
equations
a
n
b
n
a 2 e 2 b 2 e 2 = 0
constraint. First, ignore the degenerate cases of = 0, 1 which correspond to k 0 or
k +. Note that when a [0, 21 (n 1)], there exist a b satisfy the first equation. So we
first show that there exist some a [0, 21 (n 1)] satisfy the second equation. When a 0,
p
b
(n 1)s2 e 2
k
n
a
n
b
2
2
2
2
2
b (n 1) is finite, a e b e < 0,
+ and thus
, i.e. k is
n
3
a
2b 2 a 2
decreasing when a is close to the left end point. When b +, a 21 (n 1) > 0 is finite,
p
b
(n 1)s2 e 2
k
n
b
n
a
n
b

+, and a 2 e 2 b 2 e 2 > 0, and thus

+, i.e. k is
b 2 e 2 0, so
n
3
a
2b 2 a 2
increasing when a is close to the right end point. Therefore the global minimum is not located
on the two end points, but in the interior
of the interval,
i.e. the global minimum is a local


k 
k 
minimum. In other words, since
<0<
, by intermediate value theorem,
a a=0
a a=2 (n1)
1

k
= 0 in (0, 21 (n 1)). For the uniqueness of the
a
n
x
solution, consider the function f (x) = x 2 e 2 , n = 2, 3, 4, .... Then

> 0 if 0 < x < n

n n 1 x 1 n x
1 n 1 x
0
2
2
2
2
2
2
x=n
f (x) = x
e x e = x
e (n x) = 0 if

2
2
2
< 0 if
x>n

there exists a solution to the equation

i.e. f (a) < f (b) when a < b n and f (a) > f (b) when n a < b. From the above result,
there exists a0 < b0 such that f (a0 ) = f (b0 ). Then it must satisfy a0 < n < b0 . Suppose there
b
> 0, we also have b > b0 . If a (a0 , n], then
is another solution (a, b) with a > a0 . Since
a
f (a) > f (a0 ) = f (b0 ) > f (b); if a (n, +), then a < b f (a) > f (b). So it is impossible to
have such a solution. Similarly it is also impossible to have another solution with a < a0 . As a
result, the solution (a0 , b0 ) is unique.
h
i
5. Note that x z0.05 sn , x + z0.05 sn is an approximate 90% confidence interval for . Therefore,
[
x , x + ] is an approximate 90% confidence for if and only if  = z0.05 sn . Since z0.05 1.645,
s = 36,  = 6, we have the required sample size n 97.417. As n is an integer, the minimal
required sample size is 98.
6. (a) 
A two-sided 95% confidence interval for p1 p2 is
q
q
p1 )
p2 (1
p2 )
p1 (1
p1 )
+
,
p

+
z
+
p1 p2 z0.025 p1 (1
1
2
0.025
n1
n2
n1

p2 (1
p2 )
n2

[0.14069, 0.22637].
(b) 
Since n = 2000, y = y1 + y2 = 1100, p = y/n = 0.55, a two-sided confidence interval for p is
q
q
p(1
p)
p)
p z0.025
, p + z0.025 p(1
[0.5282, 0.5718]
n
n