ST202 Probability Distribution Theory and

Inference
Lecturer: Kostas Kalogeropoulos (Office B610)
Additional Exercises

1. Let Y = Y1 , , Yn be a random sample from an exponential distribution. In

other words for each Yi , i = 1, . . . , n the probability density function is
fYi (yi ) =

1 yi
e ,

yi > 0,

where > 0 is an unknown parameter. Define T = Y1 + + Yn .

(a) Obtain the test statistic for the likelihood ratio test for testing H0 : = 0
against H1 : 6= 0 .
(b) State the asymptotic distribution of this likelihood ratio test statistic under
H0 .
(c) If n = 5, T = 9.6 and 0 = 1, will you reject the null hypothesis H0 at a
significance level of 5%?
2. Suppose that X1 , ..., Xn and Y1 , ..., Yn are two independent random samples from
two Normal distributions with mean 1 and 2 respectively. Assume that both
distributions have variance 1.
(a) Find the maximum likelihood estimator for 1 , 2 , and for 1 when 1 =
2 = .
(b) Find the likelihood ratio test statistic T for H0 : 1 = 2 against H1 : 1 6=
2 .
(c) Find the distribution of 2 log T under H0 and construct a size test.
3. Let (X1 , , Xn ) and (Y1 , , Ym ) be two independent random samples drawn
from two Poisson distributions with mean (> 0) and (> 0) respectively.
(a) Write down the Likelihood function for , . Find the maximum likelihood
estimators of , . Also find the maximum likelihood estimator for when
= . (No need to check second derivatives).
(b) Find the likelihood ratio statistic T for testing hypotheses
H0 : =

vs

H1 : 6= .

(c) Under H0 the distribution of 2 log T is approximately X12 . Will you reject
the
P null hypothesisPH0 at the significance level 10% if n = 20, m = 20,
i Xi = 18.4 and
j Yj = 25.6?
2
, is equal to 2.706.
Note: The 90th percentile of X12 , denoted as X1,0.9