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1. Let X

1

, ..., X

n

be a sample of the random variable X that has a Poisson distribution with

mean > 0.

(a) Calculate MSE

X

() and MSE

S

2(), where

X and S

2

are the sample mean and

sample variance, respectively. [5 marks]

(b) Verify if MSE

X

() MSE

S

2() holds for all > 0. [5 marks]

(c) Determine [0, 1] so that

X + (1 )S

2

has the smallest variance.

[10 marks]

2. Let X

1

, X

2

, X

3

, X

4

, X

5

be a sample of size 5 from the exponential distribution with mean

> 0 and let X

(3)

be the sample median.

(a) Derive the distribution function F

X

(3)

(y) of X

(3)

for all < y < . [6 marks]

(b) Use (a) to derive the density function f

X

(3)

(y) of X

(3)

for all < y < .

[3 marks]

(c) Calculate E(X

(3)

) and verify if the sample median X

(3)

is unbiased for .

[7 marks]

(d) Write out an unbiased estimator for

2

and explain why your estimator is unbiased

for

2

. [4 marks]

3. Let X

1

, ..., X

n

be a sample from the uniform distribution U(0.5, +0.5), where 0.5,

and let

n

= X

(n)

0.5 be an estimator for , where X

(n)

= max{X

1

, ..., X

n

}.

(a) Verify if

n

is unbiased for and if

n

is asymptomatically unbiased for .[6 marks]

(b) Calculate MSE

n

() and verify if

n

is consistent for . [6 marks]

(c) Verify if MSE

n

() MSE

X

() holds for all 0.5, where

X is the sample mean.

[4 marks]

(d) For any 0 < < 1, construct an interval estimator (L, U) for so that L =

L(, X

(n)

), U = U(, X

(n)

), and Pr{L < < U} = . [9 marks]

4. A population contains ve members, with values 3, 4, 6, 8, and 9. A random sample of

size 3 is drawn without replacement. Let Y and Z be the sample mean and sample

median of the random sample, respectively, and let X

(1)

, X

(2)

, and X

(3)

be the sample

order statistics of the random sample. We use each of the estimators Y, Z, and W =

aX

(1)

+ bX

(2)

+ cX

(3)

to estimate the population mean, where a, b, and c are arbitrary

constants.

(a) Determine the bias, variance, and MSE of the sample mean Y . [4 marks]

(b) Determine the bias, variance, and MSE of the sample median Z. [6 marks]

(c) Determine the probability function of X

(i)

for i = 1, 2, 3 and the joint probability

function of (X

(i)

, X

(j)

) for all 1 i < j 3. [9 marks]

(d) Determine the values of a, b, and c so that W is unbiased and has the smallest

variance. [8 marks]

(e) Determine the values of a, b, and c so that W has the smallest MSE. [8 marks]

[Total: 100 marks]

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