Paper 1, Section II, H

Statistics | Part IB, 2020

Let X1,…,XnX_{1}, \ldots, X_{n} be i.i.d. U[0,2θ]U[0,2 \theta] random variables, where θ>0\theta>0 is unknown.

(a) Derive the maximum likelihood estimator θ^\hat{\theta} of θ\theta.

(b) What is a sufficient statistic? What is a minimal sufficient statistic? Is θ^\hat{\theta} sufficient for θ\theta ? Is it minimal sufficient? Answer the same questions for the sample mean θ~:=∑i=1nXi/n\tilde{\theta}:=\sum_{i=1}^{n} X_{i} / n. Briefly justify your answers.

[You may use any result from the course provided it is stated clearly.]

(c) Show that the mean squared errors of θ^\hat{\theta} and θ~\tilde{\theta} are respectively

2θ2(n+1)(n+2) and θ23n. \frac{2 \theta^{2}}{(n+1)(n+2)} \quad \text { and } \quad \frac{\theta^{2}}{3 n} \text {. }

(d) Show that for each t∈R,lim⁡n→∞P(n(1−θ^/θ)⩾t)=h(t)t \in \mathbb{R}, \lim _{n \rightarrow \infty} \mathbb{P}(n(1-\hat{\theta} / \theta) \geqslant t)=h(t) for a function hh you should specify. Give, with justification, an approximate 1−α1-\alpha confidence interval for θ\theta whose expected length is

(nθn+1)(log⁡(1/α)n−log⁡(1/α))\left(\frac{n \theta}{n+1}\right)\left(\frac{\log (1 / \alpha)}{n-\log (1 / \alpha)}\right)

[Hint: lim⁡n→∞(1−tn)n=e−t\lim _{n \rightarrow \infty}\left(1-\frac{t}{n}\right)^{n}=e^{-t} for all t∈Rt \in \mathbb{R}.]

Typos? Please submit corrections to this page on GitHub.