Paper 3, Section II, J

Principles of Statistics | Part II, 2021

Let X1,…,Xn∼X_{1}, \ldots, X_{n} \sim iid Gamma⁡(α,β)\operatorname{Gamma}(\alpha, \beta) for some known α>0\alpha>0 and some unknown β>0\beta>0. [The gamma distribution has probability density function

f(x)=βαΓ(α)xα−1e−βx,x>0f(x)=\frac{\beta^{\alpha}}{\Gamma(\alpha)} x^{\alpha-1} e^{-\beta x}, \quad x>0

and its mean and variance are α/β\alpha / \beta and α/β2\alpha / \beta^{2}, respectively.]

(a) Find the maximum likelihood estimator β^\hat{\beta} for β\beta and derive the distributional limit of n(β^−β)\sqrt{n}(\hat{\beta}-\beta). [You may not use the asymptotic normality of the maximum likelihood estimator proved in the course.]

(b) Construct an asymptotic (1−γ)(1-\gamma)-level confidence interval for β\beta and show that it has the correct (asymptotic) coverage.

(c) Write down all the steps needed to construct a candidate to an asymptotic (1−γ)(1-\gamma)-level confidence interval for β\beta using the nonparametric bootstrap.

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