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# 数学代写｜MAST20005/MAST90058: Assignment 1

Instructions: See the LMS for the full instructions, including the submission policy and how to submit your assignment. Remember to submit early and often: multiple submission are allowed, we will only mark your fifinal one. Late submissions will receive zero marks.

Problems:

1. Let X1, . . . , Xn be a random sample from the binomial distribution Bi(m, p), where m is given.

(a) Show that ˆp X/m is an unbiased estimator of p.

(b) Show that var(ˆp) = p(1 p)/(nm).

(c) Find a value c so that cpˆ(1 pˆ) is an unbiased estimator of var(ˆp) = p(1 p)/(mn).

A discrete random variable X has the following pmf:

x 0 1 2 p(x)1 θ θ/4 3θ/4

A random sample of size n = 30 produced the following observations:

0, 1, 2, 0, 2, 0, 2, 0, 0, 0, 0, 0, 2, 0, 0, 0, 1, 0, 0, 2, 0, 0, 0, 0, 0, 0, 2, 0, 1, 0.

For each of the following quantities, derive a general formula and, where applicable,calculate it using the given data.

(a)i.Find ¯ x and s for this sample.

ii.Find E(X) and var(X).

iii. Find the method of moments estimate of θ.

Calculate a standard error of this estimate.

(b)i.Find the likelihood function.

ii.Show that the maximum likelihood estimate of θ is θˆ = 1 f0/n, where f0 is the number of observed 0’s in the sample.

iii. Calculate a standard error of θˆ.

1. Let X1, . . . , Xn be a random sample from the inverse Gaussian distribution, IG(µ, λ),whose pdf is:

f(x | µ, λ) = λ 2πx3 1/2exp  λ(x µ)22µ2x  , x > 0, where µ = E(X1) is the mean and λ is called the shape parameter.

(a) Given that var(X1) = µ3, fifind the method of moments estimator (MME) of µ and λ.

(b) Show that the maximum likelihood estimator (MLE) of λ is ˆλ =n P i(Xi1 ¯X1).

(c) Schwartz and Samanta (1991) proved that nλ/ˆλ χ2n1 . Use this result to derive a 100 · (1 α)% confifidence interval for λ.

(d) (R) Given the following random sample of size n = 26 from an inverse Gaussian distribution:

2.48 0.30 0.43 1.84 0.40 0.14 1.07 0.20 0.80 0.23 0.32 2.06 1.61

3.47 0.67 0.11 0.63 0.58 0.29 1.08 0.21 1.48 0.35 3.20 0.06 1.17

1. Compute the method of moments estimate for λ.
2. Compute the maximum likelihood estimate for λ and give a 95% confidence interval.

iii. Do a simulation (assuming µ = 1 and λ = 0.5 and using n = 26) to compare the MME and MLE in terms of their bias and variance. Include a side-by-side boxplot that compares their sampling distributions.

1. Repeat the simulation with a larger sample size n = 100. How do the bias and variance change?

[Hint: Quantiles and random number generation for the IG distribution may be computed using the functions qinvgauss() and rinvgauss(), respectively, in the R package statmod.]

1. (R) Let X be a random variable representing distance travelled (in kilometers) until a tire is worn out. The following are 20 observations of X:

3558 24615 36533 11565 14511 5869 3651 6682 27295 14370

3836 26506 26524 11595 19722 3390 3470 8859 13566 12565

(a) Give basic descriptive statistics for these data and produce a box plot. Brieflfly comment on the center, spread and shape of the distribution.

(b) Assuming a log-normal distribution for X, i.e. ln(X) N(µ, σ2 ), compute maximum likelihood estimates for the parameters µ and σ.

(c) Draw a density histogram and superimpose a pdf for a log-normal distribution using the estimated parameters.

(d) Draw a QQ plot to compare the data against the fifitted log-normal distribution.

Include a reference line. Comment on the fifit of the model to the data.