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1
We compute I(θ) next. We have
1 1
f (x; θ) = √ exp − x2
2πθ 2θ
1 1
log(f (x; θ)) = − log(2πθ) − x2
2 2θ
∂ log(f (x; θ)) 1 x2
=− + 2
∂θ 2θ 2θ
2
∂ log(f (x; θ)) 1 x2
= 2 − 3.
∂θ 2θ θ
Thus
∂ 2 log(f (X; θ)) X2 1 1
I(θ) = E − = E 3 − 2 = 2,
∂θ θ 2θ 2θ
as E[X 2 ] = θ.
√
We have k(θ) = θ, and k 0 (θ) = 2√ 1
θ
. Thus the Rao-Cramer lower bound
is
(k 0 (θ))2 θ
= .
nI(θ) 2n
On the other hand,
(π − 2)
Var(Y ) = c2 nVar(|Xi |) = c2 n(E[Xi2 ] − E[|Xi |]2 ) = θn .
2
Thus we see that the efficiency is
(k 0 (θ))2 1
= .
Var(Y )nI(θ) π−2
2
and as before I(θ) = 2θ12 , and k(θ) = θ, so k 0 (θ) = 1. On the other
hand, since S 2 has a χ2 (n − 1) distribution, we know that Var(S 2 ) =
θ2 2 2θ 2 2
(n−1)2 Var((n − 1)S /θ) = n−1 . We have that the efficiency of S is
2θ2 n−1
2
= .
nVar(S ) n
We have
n 1 X
`(θ) = − log(2πθ) − (Xi − µ)2
2 2θ
n 1 X
`0 (θ) = − + 2 (Xi − µ)2 .
2θ 2θ
Solving, we see θ̂ = n1 (Xi − µ)2 .
P
√
For (c), we see that n(θ̂ − θ) → N (0, 1/I(θ)) = N (0, 2θ2 ).
4. (6.3.5) Let X1 , . . . , Xn be a random sample from a N (µ0 , θ) distribution,
where 0 < θ < ∞ and µ0 is known. Show that the likelihood ratio
test ofPH0 : θ = θ0 versus H1 : θ 6= θ0 can be based upon the statistic
n
W = i=1 (Xi − µ0 )2 /θ0 . Determine the null distribution of W (that is,
the distribution of W given that θ = θ0 , and give, explicitly a rejection
rule for a level α test.
Hint/Note: If θ = θ0 , so that Xi ∼ N (µ0 , θ) what is the distribution of
(Xi − µ0 )2√
/θ0 ? It’s one we know. Maybe figure out the distribution of
(Xi − µ0 )/ θ0 first.
Answer:
We have n/2
1 1 X
L(θ) = √ exp − (xi − µ)2 .
2πθ 2θ
Thus n/2
1
L(θ0 ) = √ e−W/2 .
2πθ0
We found θ̂ in the last problem, so
n/2
1
L(θ̂) = q e−n/2
1
P
2π n (xi − µ)2
Combining, we have
3
5. (6.3.8) Let X1 , X2 , . . . , Xn be a random sample from a Poisson distribution
with mean θ > 0.
Pn of H0 : θ = θ0 versus H1 : θ 6= θ0 is
(a) Show that the likelihood ratio test
based upon the statistic Y = i=1 Xi . Obtain the null distribution
of Y .
(b) For θ0 = 2 and n = 5, find the significance level of the test that
rejects H0 if Y ≤ 4, or Y ≥ 17.
Note: For (a), show that the test is of the form reject H0 if f (Y ) > c. It
will not immediately look like it is of the form Y > c. The null distribution
of Y is the distribution of Y if the null hypothesis is true.
Answer: We have P
Xi
−nθ θ
L(θ) = e Q .
Xi
We also know θ̂ = X̄, so
(θ0 )Y eY
Λ = e−nθ0
(Y /n)Y