STATS 200 (Stanford University, Summer 2015)

Extra Homework A (Not for Submission)

This document contains some questions on the material not covered by Homeworks 15 to
help you prepare for the final exam.
DeGroot & Schervish X.Y .Z means Exercise Z at the end of Section X.Y in our text,
Probability and Statistics (Fourth Edition) by Morris H. DeGroot and Mark J. Schervish.
1. Let X1 , . . . , Xn be iid discrete random variables with pmf

(x)x1 exp(x)

x!
f (x) =

if x {1, 2, . . .},
otherwise,

where is unknown and 0 < < 1. Consider testing H0 = 0 versus H1 0 .

Note: You may use without proof the fact that E (X1 ) = 1/(1 ).
(a) Find the score function.
(b) Find the Fisher information.
(c) Find the maximum likelihood estimator.
(d) Find the likelihood ratio test of these hypotheses. (You do not need to state how
to choose the critical value to give the test a particular size for this part of the
question.)
(e) State how the critical value of the likelihood ratio test in part (d) can be chosen to
give the test approximate size .
(f) Find the Wald test of these hypotheses that is based on In (n ), and state how to
choose the critical value to give the test approximate size .
(g) Find the Wald test of these hypotheses that is based on Jn , and state how to choose
the critical value to give the test approximate size .
(h) Find the score test of these hypotheses, and state how to choose the critical value to
give the test approximate size .
(i) Find a Wald confidence interval for with approximate confidence level 1 .
Note: You may find the Wald confidence interval based on either In (n ) or Jn .

Extra Homework A (Not for Submission)

2. Let X1 , . . . , Xn be iid continuous random variables with pdf

f (x) =

exp(x )

2,

[1 + exp(x )]

where R is unknown. Let 0 R be fixed and known, and consider testing H0 = 0

versus H1 0 . Let
n denote the maximum likelihood estimator of . (You do not
need to find it, and if your answers involve
n , then you may leave it as simply
n .)
Note: You may use without proof the fact that E [f (X1 )] = 1/6 for all R, i.e., the
random variable constructed by evaluating the pdf f at X1 has expectation 1/6 no matter
the value of .
(a) Find the score test of these hypotheses, and state how to choose the critical value to
give the test approximate size .
(b) Find the Wald test of these hypotheses that is based on In (
n ), and state how to
choose the critical value to give the test approximate size .
(c) Find the Wald confidence interval for based on In (
n ) with approximate confidence
level 1 .
3. Let X Bin(n, ), where is unknown and 0 < < 1. Consider testing H0 = 1/2 versus
H1 1/2. Find the likelihood ratio test of these hypotheses, and state how to give the
test approximate size .
Note: The maximum likelihood estimator of is n = X/n. You may use this fact without
proof. You also may ignore any issues that might arise from observing X = 0 or X = n.