Paper 2, Section I, H

Statistics | Part IB, 2019

Suppose that X1,,XnX_{1}, \ldots, X_{n} are i.i.d. coin tosses with probability θ\theta of obtaining a head.

(a) Compute the posterior distribution of θ\theta given the observations X1,,XnX_{1}, \ldots, X_{n} in the case of a uniform prior on [0,1][0,1].

(b) Give the definition of the quadratic error loss function.

(c) Determine the value θ^\widehat{\theta}of θ\theta which minimizes the quadratic error loss function. Justify your answer. Calculate E[θ^]\mathbb{E}[\hat{\theta}].

[You may use that the β(a,b),a,b>0\beta(a, b), a, b>0, distribution has density function on [0,1][0,1] given by

ca,bxa1(1x)b1c_{a, b} x^{a-1}(1-x)^{b-1}

where ca,bc_{a, b} is a normalizing constant. You may also use without proof that the mean of a β(a,b)\beta(a, b) random variable is a/(a+b).]a /(a+b) .]

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