Exercise 5.22. Let (Xn)nel be a sequence of i.i.d. Poisson(a) RVs. Let Sn-X1++Xn (i) Let Zn-(Sn-nA)/Vm....
Exercise 5.23. Let (Xn)nz1 be a sequence of i.i.d. Bernoulli(p) RVs. Let Sn -Xi+Xn (i) Let Zn-(Sn-np)/ V np (1-p). Show that as n oo, Zn converges to the standard normal RV Z~ N(0,1) in distribution. (ii) Conclude that if Yn~Binomial(n, p), then (iii) From i, deduce that have the following approximation x-np which becomes more accurate as n → oo.
Exercise 2 (Monte Carlo integration). Let (Xk)kzl be i.i.d. Uniform([0, 1]) RVs and let f: [0,1] -- R be a continuous function. For each n2 1, let (f(X)f(X2).+f(Xn)) (3) In = -- .. + Sof(x) dx in probability. (i) Suppose o f (x)| dx (ii) Further assume that f lf(x)2 dx <o0. Use Chebyshef's inequality to show that :< oo. Show that In P (IIn-I2 alVnVar(f(X1)) a2 f(x)2 dx (4)
Exercise 5 (Sample variance is unbiased). Let X1, ... , Xn be i.i.d. samples from some distribution with mean u and finite variance. Define the sample variance S2 = (n-1)-1 _, (Xi - X)2. We will show that S2 is an unbiased estimator of the population variance Var(X1). (i) Show that ) = 0. (ii) Show that [ŠX – 1908–) -0. ElCX –po*=E-* (Šx--) == "Varex). x:== X-X+08 – ) Lx - X +2Zx - XXX - 1) + X...
part iii and iv Exercise 3 (Paired test, known variance of the difference). Let X, Y be RVs. Denote E[X] = Hx and E[Y] = My. Suppose we want to test the null hypothesis Houx = uy against the alternative hy- pothesis H :Mx My. Suppose we have i.i.d. pairs (X1,Y),...,(Xn, Yn) from the joint distribution of (X,Y). Further assume that we know the value of o2 = Var(X-Y). (i) Noting that X1 - Y1,...,xn - Yn are i.i.d. with...
4. Exercise Let X, Y be RVs. Denote E[X] = Hy and E[Y] =py. Suppose we want to test the null hypothesis Ho : Mx = uy against the alternative hypothesis Hi : 4x > uy. Suppose we have i.i.d. pairs (X1,Yı),...,(Xn, Yn) from the joint distribution of (X,Y). Further assume that we know the X - Y follows a normal distribution. (i) Show that exactly) T:= (X-Y)-(ux-uy) - tn-1), Sin (3) where s2 = n-1 [?-,((X; – Y;) –...