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Assignment 1 ACTSC 433/833, Winter 2012

(Due at the beginning of the class on January 19)


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]