Fall 2017 ACTSC 613 Zhu, M

University of Waterloo
ACTSC 613

Problem of the Week, #8

( Distributed: November 9, 2017; Due: November 17, 2017 )

iid
1. Suppose X1 , X2 , ..., Xn ∼ Exponential(λ) with density function

f (x) = λe−λx , x > 0, λ > 0.

Recall from class that this is the same as Gamma(1, λ). We’d like to construct confidence
intervals for the unknown parameter, λ.

(a) Let Yi = 2λXi . Show that Yi ∼ Exponential(1/2), and hence conclude that
n
X n
X
V ≡ Yi = 2λXi
i=1 i=1

is distributed as Gamma(n, 1/2), also known as χ2(2n) .

(b) Briefly explain why V is a pivotal quantity.
(c) For n = 30, X̄ = 1, use the fact

P(43.19 < χ2(60) < 79.08) = 0.90

to construct a 90%-confidence interval for λ, and compare it with the two confidence
intervals that we discussed in class for this particular setting, i.e.,
  √ √ 
1 1 n − 1.645 n + 1.645
√ , √ and √ , √ ,
X̄ + 1.645X̄ / n X̄ − 1.645X̄ / n nX̄ nX̄

both of which are based on the approximate pivotal quantity,

X̄ − (1/λ)
√ ∼ N(0, 1) for relatively large n.
(1/λ)/ n

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