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    Statistics 131 Worksheet 10: Let X, · · ·, X ∼ U (0, θ), θ > 0. Find unbiased estimators of θ

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    The document contains 5 statistics problems and their solutions. 1. Two unbiased estimators are found for the parameter θ of a U(0,θ) distribution: the sample mean X and (n+1)/n times the maximum order statistic X(n). A third estimator X(n) is asymptotically unbiased. 2. For a Binomial(1,p) distribution, the only unbiased estimator of the probability of success p is the sample proportion X. 3. No unbiased estimator exists for the odds h(p)=p/(1-p) of a Binomial(1,p) distribution. 4. The maximum order statistic Yn is a

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    Statistics 131 Worksheet 10: Let X, · · ·, X ∼ U (0, θ), θ > 0. Find unbiased estimators of θ

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    willow
    49 views2 pages
    The document contains 5 statistics problems and their solutions. 1. Two unbiased estimators are found for the parameter θ of a U(0,θ) distribution: the sample mean X and (n+1)/n times the maximum order statistic X(n). A third estimator X(n) is asymptotically unbiased. 2. For a Binomial(1,p) distribution, the only unbiased estimator of the probability of success p is the sample proportion X. 3. No unbiased estimator exists for the odds h(p)=p/(1-p) of a Binomial(1,p) distribution. 4. The maximum order statistic Yn is a

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    Unbiased Estimation Problem Solving with solutions

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    Worksheet 10

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    The document contains 5 statistics problems and their solutions. 1. Two unbiased estimators are found for the parameter θ of a U(0,θ) distribution: the sample mean X and (n+1)/n times the maximum order statistic X(n). A third estimator X(n) is asymptotically unbiased. 2. For a Binomial(1,p) distribution, the only unbiased estimator of the probability of success p is the sample proportion X. 3. No unbiased estimator exists for the odds h(p)=p/(1-p) of a Binomial(1,p) distribution. 4. The maximum order statistic Yn is a

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    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    49 views2 pages

    Statistics 131 Worksheet 10: Let X, · · ·, X ∼ U (0, θ), θ > 0. Find unbiased estimators of θ

    Uploaded by

    willow
    The document contains 5 statistics problems and their solutions. 1. Two unbiased estimators are found for the parameter θ of a U(0,θ) distribution: the sample mean X and (n+1)/n times the maximum order statistic X(n). A third estimator X(n) is asymptotically unbiased. 2. For a Binomial(1,p) distribution, the only unbiased estimator of the probability of success p is the sample proportion X. 3. No unbiased estimator exists for the odds h(p)=p/(1-p) of a Binomial(1,p) distribution. 4. The maximum order statistic Yn is a

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    of 2

    Statistics 131 Worksheet 10

    rs
    1. Let X1 , · · · , Xn ∼ U (0, θ), θ > 0. Find unbiased estimators of θ.

    θ = (θ), Ωθ = {θ : θ > 0}, τ (θ) = θ, SX = {(x1 , . . . , xn ) : xi ∈ (0, θ) ∀i}

    We have
    θ θ
    E(X1 ) = ⇒ E(X) = ⇒ T1 = 2X is unbiased for θ
    2 2
     
    nθ n+1
    Also, since E[X(n) ] = , then T2 = X(n) is unbiased for θ. Observe
    n+1 n
    that T3 = X(n) is biased with

    b(T3 ) = θ − E(T3 )
     
    nθ n
    = θ− =θ 1−
    n+1 n+1
    θ
    = → 0, as n → ∞,
    n+1
    so that T3 is asymptotically unbiased for θ. 

    2. Let X ∼ Bin(1, p), p ∈ [0, 1]. Show that there exists one and only one unbiased
    estimator of p.

    θ = (p), Ωθ = {p : p ∈ [0, 1]}, τ (θ) = p, SX = {(x1 , . . . , xn ) : xi ∈ {0, 1} ∀i}

    We have E(X) = p, so that X is unbiased for p. Now, any estimator T = T (X) of


    p based on X is of the form
    
    t0 if X = 0
    T = t0 I{0} (X) + t1 I{1} (X) = ,
    t1 if X = 1

    so that

    E(T ) = p(t1 − t0 ) + t0 = p ⇔ t0 = 0, t1 = 1

    so that T ≡ X. That is, X is the only unbiased estimator of p, and hence, is the
    UMVUE of p. Observe that X, while being the so-called “best” estimator, estimates
    p as either 0 (success is impossible) or 1 (success is certain). 
    rs
    3. Let X1 , · · · , Xn ∼ Bin(1, p), p ∈ (0, 1). Show that no unbiased estimator exists for
    p
    h(p) = , the odds.
    1−p
    p
    θ = (p), Ωθ = {p : p ∈ [0, 1]}, τ (θ) = , SX = {(x1 , . . . , xn ) : xi ∈ {0, 1} ∀i}
    1−p
    Let T = T (X1 , · · · , Xn ) be an unbiased estimator of h(p). By LOTUS, we have
    p ?
    X
    h(p) = = E(T ) = tj pnj (1 − p)n−nj ,
    1−p t j

    where nj is the number of Xi ’s equal to 1 such that T = tj . The above equation


    p
    implies that a polynomial in p (right-hand side) equals the ratio h(p) = (left-
    1−p
    hand side), which is not a polynomial in p. Therefore, no unbiased estimator exists
    for h(p), and hence, no UMVUE exists for the odds. 

    rs
    4. Let X1 , · · · , Xn ∼ U (0, θ), θ > 0. Find a sufficient statistic for θ.
    θ = (θ), Ωθ = {θ : θ > 0}, τ (θ) = θ, SX = {(x1 , . . . , xn ) : xi ∈ (0, θ) ∀i}
    n n
    Y Y 1
    fX (xi ; θ) = I(0,θ) (xi )
    i=1 i=1
    θ
    1
    = I{(x1 ,··· ,xn ):xi <θ,∀i} (x1 , · · · , xn )
    θn
    1
    = n I(0,θ) (yn ), yn = max(x1 , · · · , xn ),
    |θ {z }
    g(yn ;θ)

    with h(x1 , · · · , xn ) ≡ 1. Thus, Yn = max(X1 , · · · , Xn ) is sufficient for θ. 

    rs
    5. Let X1 , · · · , Xn ∼ U (θ − a, θ + a), θ ∈ R and a is known. Find jointly sufficient
    statistics for θ.
    θ = (θ), Ωθ = {θ : θ ∈ R}, τ (θ) = θ, SX = {(x1 , . . . , xn ) : xi ∈ (θ − a, θ + a) ∀i}
    n n
    Y Y 1
    fX (xi ; θ) = I(θ−a,θ+a) (xi )
    i=1 i=1
    2a
     n
    1
    = I(θ−a,yn ) (y1 )I(θ−a, θ+a) (yn ),
    2a
    | {z }
    g(y1 ,yn ;θ)

    and
     h(x  1 , · · · , xn ) ≡ 1, y1 = min(x1 , · · · , xn ) and yn = max(x1 , · · · , xn ). Thus, S =
    Y1
    is sufficient for θ (or Y1 = min(X1 , · · · , Xn ) and Yn = max(X1 , · · · , Xn )
    Yn
    are jointly sufficient for θ). 

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