Some final exam practice problems

Note: Some of these questions involve more extensive reflection than others and would not
therefore be appropriate for a two hour exam.
1. Suppose that X1 , X2 , are independent random variables with common density function
f (x) = x1

for x 1

where > 0.
(a) Let Vn = max(X1 , , Xn ). Find the density function of Vn . (Be sure to specify the
range of Vn .)
d
(b) Show that n1/ Vn V where the random variable V has distribution function


FV (x) = exp x

for x > 0.

2. Suppose that X1 , X2 , are independent random variables with E(Xi ) = 0 and E(Xi2 ) =
2.
(a) Define
!1/2
!
n
n
1 X
1X
2

X
Xi .
Un =
n i=1 i
n i=1
Find the limiting distribution of Un as n .
(b) Define
n
1X
Vn =
(1)k Xk
n k=1
p

Show that Vn 0.
3. Suppose that X1 , , Xn are independent discrete random variables with mass function
f (x; ) =

!|x|

1
2

!1|x|

for x = 1, 0, 1

where 0 < < 1.

Show that the maximum likelihood estimator of is
n
2X
b
n =
|Xi |

n i=1

and find the limiting distribution of

regularity conditions are satisfied.)

n(bn ). (You may assume that all the appropriate

4. Suppose that X1 , , Xn are independent Bernoulli random variables whose probability

mass function is
f (x; ) = x (1 )1x for x = 0, 1
1

Let T =

Pn

i=1

Xi and recall that

!

n t
P (T = t) =
(1 )nt
t

for t = 0, , n

(a) State why T is sufficient for . (Hint: write the joint probability mass function as a 1
parameter exponential family.)
(b) Find an unbiased estimator of (1 ) based on T when n = 2.
5. Let X and Y be independent random variables with E(X) = E(Y ) = , Var(X) = 12
and Var(Y ) = 22 . Assume that 12 and 22 are known and consider estimators of of the
form
b = aX + (1 a)Y.
b
Find the value of a that minimizes Var().

6. Suppose that X1 , , Xn are independent random variables with common distribution

whose mean is and variance k2 where k is a known constant. Let
Vn =
and

n
X
1
X2
n(k + 1) i=1 i

n
X
n = 1
Xi .
X
n i=1

(a) Show that Vn is a consistent estimator of 2 . Is it unbiased? Justify your answer.

n2 is a consistent estimator of 2 and find the limiting distribution of n(X
n2
(b) Show that X
2 ).
7. Let X1 , , Xn be independent random variables where the density function of Xi is
fi (x; ) =

1
exp(x/(ti )) for x 0
ti

and t1 , , tn are known constants. (Note that Xi has an Exponential distribution.)

(a) Show that
n
1X
b =
Xi /ti
n i=1

is an unbiased estimator of .
(b) Show that (b )/ is an approximate pivot for and find an approximate 95% confidence interval for .
8. Suppose that X1 , X2 , are independent uniform random variables on [0, 1]. Suppose
that {bn } is a sequence of estimators with bn > 0 satisfying
n
1X
1
1
=
+
ln(Xi )
n i=1
bn bn + 1

p
(a) Show that bn 0 and find the value of 0 .

(b) Show that

n(bn 0 ) N (0, 2 ) and find the value of 2 .

9. Suppose that X1 , X2 , are indpendent random variables such that

P (Xi = 0) = p and P (Xi > x) = (1 p) exp(x) for x 0.
(a) Define Y = X1 + + Xn . How would you compute the distribution of Y if n is small?
If n is large?
(b) Suppose that p = exp() where is an unknown parameter. Find a consistent estimator
P
of based on ni=1 Xi .
(c) Find an approximate standard error for the estimator in part (b).
(d) Assuming that p = exp(), the likelihood function for is
L() = exp

n
X

I(xi = 0)

i=1

i:xi >0

{(1 exp()) exp(xi )}

Find an expression for the MLE of .

(e) How might you estimate the standard error of the MLE in part (d)?
10. Suppose that X1 , , Xn are independent uniform random variables on [0, ] and we test
H0 : = 1 versus H1 : 6= 1
at level . We will reject H0 if T > 1 or T < k where T = max(X1 , , Xn ).
(a) Find an expression for k to make this a level test.
(b) Find the power of this test as a function of . For what value of is the power minimized?
(Hint: consider the cases < 1 and > 1 separately.)
11. Suppose that X1 , , Xn are independent random variables with density
f (x; ) = exp(x) for x 0
and Y1 , , Ym are independent random variables ( which are also independent of the Xi s)
with density
g(y; ) = exp(y) for y 0.
P

2
(a) Show that 2 ni=1 Xi and 2 m
i=1 Yi are independent random variables with 2n and
2m degrees of freedom respectively.
(b) Using the pivot

X
Y
describe in detail how you would construct a 95% confidence interval for /. What is the
distribution of the pivot?

12. Suppose that X1 , , Xn be independent, identically distributed random variables with

frequency function
f (x; ) = (1 )x for x = 0, 1, 2,
where 0 < < 1.
P
(a) Show that ni=1 Xi is a sufficient statistic for and give its expected value and variance.
3

(b) Find the maximum

likelihood estimator of based on X1 , , Xn . Find the limiting

distribution of n(bn ) where bn is the maximum likelihood estimator.

(c) Define a statistic Y to be the number of Xi s which are even (0, 2, 4, ), that is,
Y =

n
X

I(Xi is even) =

i=1

n X

I(Xi = 2k)

i=1 k=0

(where I(A) is 1 if A is true and 0 if A is false). Find an estimator en based on Y such that
p
en .

13. Suppose that Y1 , , Yn are independent discrete random variable with the probability
mass function of Yi given by
yi
for y = 0, 1, 2,
f (y; i ) =
(1 + i )y+1
where i = E(Yi ). Suppose that ln(i ) = 0 + 1 xi where x1 , , xn are known constants.
(a) Show that Var(Yi ) = i (1 + i ).
(b) Show that the maximum likelihood estimators, b0 and b1 , of 0 and 1 satisfy the
equations
)
(
n
n
X
X
exp(b0 + b1 xi )
Yi =
(Yi + 1)
1 + exp(b0 + b1 xi )
i=1
i=1

and

n
X
i=1

xi Yi =

n
X
i=1

xi exp(b0 + b1 xi )
(Yi + 1)
.
1 + exp(b0 + b1 xi )

14. Suppose that X1 , , Xm , Y1 , , Yn are two independent samples where X1 , , Xm

are independent with distribution function F (x) and density f (x), and Y1 , , Yn are independent with distribution function G(x) = F (x) for some > 0.
(a) Show that the common density function of {Yi } is
g(x) = F (x)1 f (x)
(b) Consider testing the null hypothesis
H0 : = 1
versus the alternative
H1 : > 1.
Suppose that F (x) is known (which may be approximately true). Using the Neyman-Pearson
paradigm, find a good test of H0 versus H1 . (Hint: Look at the ratio of joint densities
under H0 and H1 .)