Fake Exam II Spring 2013

Instructions: Justify your solutions fully as indicated in lecture for fullest credit. (This
exam may be longer than the real one, and may not be thorough either.)


1. a. Suppose u= E(X
5
). Propose an estimator, call it

, for u, and then prove that

your estimator is UCAN. (Hint: Use the Golden Rule.)

b. In part (a) lets reparameterize via o = u
4
. Propose an estimator, call it o
n
^ , for
o, and then prove that your estimator is CAN but biased for o.

c. If Y
n
~ I(n, ), find the asymptotic distribution of

( (

)) ( (

))

. Justify your assertions.

d. Suppose X
n
~ Exp(
n
) where
n
. Prove that X
n
converges in distribution to
Exp().
e. Let Y
n
be the minimum of a random sample of size n from U(0,1). Prove that
nY
n
converges in distribution.

f. In part c here, find the asymptotic distribution of Y
n
2
B
n
/n
2
+ sin (Y
n
/n).


g. Prove that the sample standard deviation S
n
is biased for the population standard
deviation o, even though we showed in class that the sample variance is unbiased
for o
2
.


2. We say the rv X has the Dan distribution with parameter u > 0 (written X ~ D(u) ) if
X has pdf f(x)= 2x/u
2
, for 0 < x < u, and f(x) = 0, elsewhere.
Consider the parameterized family {D(u) : u > 0 }.

a. Let Y
n
be the maximum of the random sample of size n. Find the asymptotic
distribution of n(u - Y
n
).
b. Recall that T
n
= [(2n+1)/(2n)] Y
n
is a UC estimator of u. Find the asymptotic
distribution of n(u - T
n
).

3. Repeat #2 with suitable modifications if instead f(x)= 3x
2
/u
3
, for 0 < x < u, and f(x) =
0, elsewhere.

4. Find the MLE for Exp() directly from the definition.
c. In part (a) assess the quality of your MLE.
d. Find the MLE for the family { Exp() : 5}.
e. Find the MLE for the family in (a) but for the parameter o = P(X < 3). Assess!