4.II.27J

Principles of Statistics | Part II, 2006

(a) State the strong law of large numbers. State the central limit theorem.

(b) Assuming whatever regularity conditions you require, show that if θ^n≡θ^n(X1,…,Xn)\hat{\theta}_{n} \equiv \hat{\theta}_{n}\left(X_{1}, \ldots, X_{n}\right) is the maximum-likelihood estimator of the unknown parameter θ\theta based on an independent identically distributed sample of size nn, then under PθP_{\theta}

n(θ^n−θ)→N(0,J(θ)−1) in distribution \sqrt{n}\left(\hat{\theta}_{n}-\theta\right) \rightarrow N\left(0, J(\theta)^{-1}\right) \quad \text { in distribution }

as n→∞n \rightarrow \infty, where J(θ)J(\theta) is a matrix which you should identify. A rigorous derivation is not required.

(c) Suppose that X1,X2,…X_{1}, X_{2}, \ldots are independent binomial Bin⁡(1,θ)\operatorname{Bin}(1, \theta) random variables. It is required to test H0:θ=12H_{0}: \theta=\frac{1}{2} against the alternative H1:θ∈(0,1)H_{1}: \theta \in(0,1). Show that the construction of a likelihood-ratio test leads us to the statistic

Tn=2n{θ^nlog⁡θ^n+(1−θ^n)log⁡(1−θ^n)+log⁡2}T_{n}=2 n\left\{\hat{\theta}_{n} \log \hat{\theta}_{n}+\left(1-\hat{\theta}_{n}\right) \log \left(1-\hat{\theta}_{n}\right)+\log 2\right\}

where θ^n≡n−1∑k=1nXk\hat{\theta}_{n} \equiv n^{-1} \sum_{k=1}^{n} X_{k}. Stating clearly any result to which you appeal, for large nn, what approximately is the distribution of TnT_{n} under H0H_{0} ? Writing θ^n=12+Zn\hat{\theta}_{n}=\frac{1}{2}+Z_{n}, and assuming that ZnZ_{n} is small, show that

Tn≃4nZn2T_{n} \simeq 4 n Z_{n}^{2}

Using this and the central limit theorem, briefly justify the approximate distribution of TnT_{n} given by asymptotic maximum-likelihood theory. What could you say if the assumption that ZnZ_{n} is small failed?

Typos? Please submit corrections to this page on GitHub.