Statistics – I: Course – MA3205

Exercise Set 3

Spring 2019

iid
Exercise 1. Let X1 , X2 , . . . , Xn ∼ Fθ for θ ∈ Θ. The corresponding pdf/pmf is denoted by fθ . For each
of the following models, find an unbiased estimator of the specified parameter of interest.
(a) fθ is the N(µ, σ 2 ) density, and the parameter of interest is σ.
[Hint: Think in terms of s, and recall that (n − 1)s2 ∼ σ 2 χ2(n−1) .]
(b) fθ (x) = 3x√2 θ −3 exp{−(x/θ)3 }, x ≥ 0, and the parameter of interest if θ.

(c) fθ (x) = (x
2π)−1
exp{−(ln x − µ)2 /2}, x ≥ 0, and the parameter of interest is µ.

K N −K N


(d) fθ (x) = x n−x / n , max(0, n + K − N ) ≤ x ≤ min(K, n) with N and n fixed, and the parameter
of interest is K.
[Hint: When calulating the expectation in (d), use combinatorial properties and try to reduce the
expression to a form similar to the pmf.]

Exercise 2. Let X1 , X2 , . . . , Xn be an iid sample from the distribution with pdf

(ln x − µ)2
 
1
fθ (x) = √ exp − , x ≥ 0,
xσ 2π 2σ 2

where θ = (µ, σ 2 )T . Find the method of moments estimator of θ.

Exercise 3. Let X1 , X2 , . . . , Xn be an iid sample from a distribution with an unknown cdf F (even the
functional form of F is unknown). For x ∈ R, define
n
1X
Fn (x) = 1(Xi ≤ x).
n
i=1

P
Show that Fn (x) is a consistent estimator of F (x), i.e., |Fn (x) − F (x)| → 0 as n → ∞.
Suppose that F is known to be a continuous cdf with density f . An estimator of f (x) based on
X1 , X2 , . . . , Xn is given by
Fn (x + hn ) − Fn (x − hn )
fn (x) = .
2hn
(a) Show that 2nhn fn (x) has a Binomial distribution with parameters n and F (x + hn ) − F (x − hn ).
(b) Show that E[fn (x)] → f (x) as n → ∞ provided that hn → 0 as n → ∞.
(c) Show that Var[fn (x)] → 0 as n → ∞ provided that hn → 0 and nhn → ∞ as n → ∞.
P
(d) Use (b) and (c) to show that |fn (x) − f (x)| → 0 as n → ∞.
[Hard] Suppose it is additionally known that F is a continuous cdf on [0, 1]. In that case, show that
P
sup |Fn (x) − F (x)| → 0 as n → ∞?
x∈[0,1]

[Hint: Use the fact that [0, 1] is a compact set and that the functions are cdfs (hence also monotone) to
go from pointwise convergence to uniform convergence].

Exercise 4. Find a sufficient statistic (may be vector-valued) in each of the following cases based on a
random sample of size n.

1
(a) Beta(a, b), where (i) a is known but b is unknown, (ii) b is known but a is unknown, and (iii) both a
and b are unknown. Here a, b > 0.
(b) Gamma(a, b), where (i) a is known but b is unknown, (ii) b is known but a is unknown, and (iii) both
a and b are unknown. Here a, b > 0.
(c) Unif(a, b), where (i) a is known but b is unknown, (ii) b is known but a is unknown, and (iii) both a
and b are unknown. Here a < b ∈ R.
(d) the pdf is the same as in Exercise (2), where (i) µ is known but σ is unknown, (ii) σ is known but µ
is unknown, and (iii) both µ and σ are unknown. Here µ ∈ R and σ > 0.
(e) the pmf is fθ (x) = 2(1 − 2−1/θ )2−x/θ , x = θ, θ + 1, . . . and θ > 0.
(f) N(ασ, σ 2 ), where α is a known real number and σ > 0 is the parameter.
(g) Unif(θ − 0.5, θ + 0.5), where θ ∈ R.

Exercise 5. Let X1 , X2 , . . . , Xn be an iid sample from a discrete distribution Fθ , where θ ∈ Θ ⊆ Rk .

Let T (X1 , X2 , . . . , Xn ) = (X1 , X2 , . . . , Xm ), where m < n. Show that T is not sufficient for θ.
[Hint: Use the definition of sufficiency.]