Question

Define f(x) as follows    θ2                -1<=x<0    1-θ2            0<=x>1 0   

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.

  1. Find he Maximum likelihood estimator of θ?
  2. Is it asymptotically normal in this sample?
  3. Find the asymptotic variance
  4. Consider the following hypotheses:
    H0: X is Unif (-1,1)
    H1: X is not distributed as Unif (-1,1)
    Write down the test statistics (Wald)Tn. Use the value of θ thst defines H0 as the argument of the asymptotic variance V(θ): Hint: write the hypotheses in terms of θ.
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