STATS 310 Introduction to Statistical Theory

Tutorial problem 5. Tuesday March 19, 2013 Model Answer

In a study to estimate the population size of the bowhead whale, Baleana mysticetus, (http://en.wikipedia.org/wiki/Bowhead_Whale) in the Bering Sea data were gathered on the speeds that an individual whale swam. (Raftery and Zeh, 1993, Springer Lecture Notes in Statistics 163 240).

, Pairs of sightings and corresponding locations that could be reliably assigned to the same whale were collected, and then the velocity estimated for each of n = 210 whales. The velocities v1, v2, v210 were converted into times xi = 1/vi, i=1,2, 210 to swim 1km. The first five times are 0.2252, 0.7194, 0.1642, 0.2398, and 0.1880 (hours). We consider a continuous distribution with probability density function f X= ( x | ) 2 x exp ( x ) , 0 < x < as a possible model for this data. For this distribution E[X] =

and Var[X] =

Suppose that {X1, X2, ... , Xn } is a random sample from this distribution a) Find log f X ( x, ) .

f X ( x | ) log ( 2 x exp ( x ) ) = log = log ( 2 ) + log x + log ( exp ( x ) ) = 2 log + log x x

b) Use this to find the log-likelihood function, ( ) . The log likelihood = ( ) log f X ( x1 , ) + log f X ( x2 , ) + + log f X ( xn , )
( = ) 2 log + log x1 x1 + + 2 log + log xn xn = ( ) 2n log + log x1 + log x2 + + log xn x1 x2 xn = ( ) 2n log nx + log x1 + log x2 + + log xn

For this sample of data the sample size n = 210 and the sample mean x = 0.606
= ( ) 420log 127.26 + log x1 + log x2 + + log xn

c) Fill in the table below. Recall: In Statistics logs are natural logs to the base e NOT base 10, thats the ln button on your calculator. Hint: Ignore the terms in ( ) involving log xi . These do not involve , and so do not affect the shape of the graph. They just move the whole graph up and down.

( )

1 -127.3

2 36.6

3 79.6

4 73.2

5 39.7

Sketch the graph of ( ) versus for in the range (1, 5), and estimate the value which maximises ( ) . which maximises ( ) . Using your plot of ( ) estimate the value

log likelihood

50

Maximum ~3.25

-100
1

-50

d) Write down the score statistic U ( ; x ) where x =(x1, x2,...,xn)T. The score statistic is the derivative of the log likelihood U ( x, ) =

d d

U ( ; x ) =

d 2n {2n log nx + log x1 + log x2 + + log xn } = nx d

of , and give its value for this e) Find the maximum likelihood estimator, sample of data.

= 0 and To find the maximum likelihood estimate we set the score statistic U x,
. U ; x = 2n nx = 0 solve the equation for = 2. The maximum likelihood estimate x 2 = 3.30 . For our sample of data x = 0.606 = so 0.606

( )

( )

f) Using the expectation E[X] =

evaluate E U ( ; X ) for this distribution. If a distribution has expected value E[X] =

for this distribution find E [ x ] and thus

then the expected value of the sample

2 mean E X = .

2n 2 2n 2n E U ( ; x ) = E nx = nE [ x ]= n = 0

g) Find the information, I ( ) . We can find the information in either of two ways. 1. Directly from the definition I ( ) = Var U ( ; x )

dU = 2. Using I ( ) E d 2 2n I ( ) = Var Var nx = ( n ) Var U ( ; x ) = X 2 2 X = 2 and We know that for this distribution Var[X] = 2 so Var n 2 2n 2n I= ( ) n 2Var= [x ] = 2 2 n dU ( ; x ) d 2n 2n = nx = 2 d d dU ( ; X ) 2n 2n This is a constant so E E 2 = 2 and so the information = d dU 2n I ( ) = E =2 . d
h) Find Vmin , the Cramr-Rao lower bound for the variance of any unbiased estimator of . Vmin , the Cramr-Rao lower bound for the variance of any unbiased estimator of is

1 2 Vmin = given by = . I ( ) 2n
i) Does the variance of the maximum likelihood estimator equal the Cramr-Rao lower bound? Give a reason to justify your answer. If the score statistic can be written as U = ( ; x ) I ( ) then the variance of the maximum likelihood estimator equals the Cramr-Rao lower bound. In our case U ( ; x ) =
2n

nx =

2n

2n since the maximum likelihood estimate

2 = . x
2n 2n 2n is not a constant so the variance of the maximum but = likelihood estimator is greater than the Cramr-Rao lower bound. 2n