Consider a sample of i.i.d. random variables X1,..., X, and assume their common density is given...
Consider a sample of i.i.d. random variables X1,..., X and assume their common density is given by fo(a) = exp (3) 1(220), where 8 >0 is an unknown parameter Maximum Likelihood Estimator Compute the maximum likelihood estimator Ô of 0. (Enter barX_n for Xn and bar(X_n^2) for X.)
(c) Frequentist Estimation and Hypothesis Testing: Large Sample7 points possible (graded, results hidden)Now, suppose that we have observations with . Recall .Compute the maximum likelihood estimate (MLE).(Enter numerical answers accurate up to at least 3 decimal places.) unanswered Compute the method of moments estimate.(Enter numerical answers accurate up to at least 3 decimal places.) unanswered Use the plug-in method to construct a confidence interval for of asymptotic confidence level centered around . Use the variance obtained from the asymptotic variance formula for the MLE and plug in for . Enter the lower and upper bounds of (the realization...
4. Setup: Suppose you have observations X1,X2,X3,X4,X5 which are i.i.d. draws from a Gaussian distribution with unknown mean μ and unknown variance σ2. Given Facts: You are given the following: 15∑i=15Xi=0.90,15∑i=15X2i=1.31 Bookmark this page Setup: Suppose you have observations X1, X2, X3, X4, X5 which are i.i.d. draws from a Gaussian distribution with unknown mean u and unknown variance o? Given Facts: You are given the following: x=030, =1:1 Choose a test 1 point possible (graded, results hidden) To test...
Problem 4 Define f(x) as follows θ2 -1<=x<0 1-θ2 0<=x>1 0 otherwise Let X1, … Xn be iid random variables with density f for some unknown θ (0,1), Let a be the number of Xi which are negatives and b be the number of Xi which are positive. Total number of samples n = a+b. Find he Maximum likelihood estimator of θ? Is it asymptotically normal in this sample? Find the asymptotic variance Consider the following hypotheses: H0: X is...
8. A Union-Intersection Test Bookmark this page Let X1,…,Xn be i.i.d. Bernoulli random variables with unknown parameter p∈(0,1). Suppose we want to test H0:p∈[0.48,0.51]vsH1:p∉[0.48,0.51] We want to construct an asymptotic test ψ for these hypotheses using X¯¯¯¯n. For this problem, we specifically consider the family of tests ψc1,c2 where we reject the null hypothesis if either X¯¯¯¯n<c1≤0.48 or X¯¯¯¯n>c2≥0.51 for some c1 and c2 that may depend on n, i.e. ψc1,c2=1((X¯¯¯¯n<c1)∪(X¯¯¯¯n>c2))where c1<0.48<0.51<c2. Throughout this problem, we will discuss possible choices...
id 3. Let X1, X2, ..., X 1 N(0,03) and Y1, 72,..., Ym N(02,03) independently. Denote 0 = (01,02,0z)" (a) Write down the expression for the log-likelihood function (0). (b) Find the maximum likelihood estimator Ô of . (You do not need to perform the second derivative test.) (e) Find the Fisher information. (d) Consider using –2 log(LR) to test H. : 0 = 0against H, : 01 + 02. Find the maximum likelihood estimator of O under H, and...
Let X1, ..., X, bei.i.d. random variable with pdf fe defined as follows: fo (2) = 0x0-11(0<x< 1) where 0 is some positive number. Using the MLE Ô, find the shortest confidence interval for 6 with asymptotic level 85% using the plug-in method. To avoid double jeopardy, you may use V for the appropriate estimator of the asymptotic variance V (Ô), and/or I for the Fisher information I (Ô) evaluated at ê, or you may enter your answer without using...
Question 4 15 marks] The random variables X1, ... , Xn random variables with common pdf independent and identically distributed are 0 E fx (x;01) 0 independent of the random variables Y^,..., Y, which and are indepen are dent and identically distributed random variables with common pdf 0 fy (y; 02) 0 (a) Show that the MLE8 of 01 and 02 are 1 = X i=1 Y (b) Show that the MLE of 0 when 01 = 0, = 0...
5. Let X1, ..., X 100 be i.i.d. random variables with the probability distribution function f(x;0) = 0(1 - 0)", r=0,1,2..., 0<o<1 Construct the uniformly most powerful test for H, :0= 1/2 vs HA: 0 <1/2 at the significance level a =0.01. Which theorems are you using? Hint: EX = 1, VarX = 10.
In each of the following questions, you are given an i.i.d. sample and two hypotheses. For any ?∈(0,1), define a test with asymptotic level ?, then give a formula for the asymptotic ?-value of your test. a) b) c) i.id. Xi, , xn Poiss (A) for some unknown λ > 0; V.S x) where Z ~ N (0, 1), and q(alpha) Type barx-n for Xn, lambda-0 for λο. . If applicable, type abs(x) for lxi. Phi(x) for Φ (x) =...