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Suppose \(X_{1}, \ldots, X_{n}\) are iid with pdf \(f(x ; \theta)=2 x / \theta^{2}, \quad 0

Short Answer

Expert verified
The solutions are:(a) \(\hat{\theta}= \text{max} \{X_1, ..., X_n\}\)(b) \(c= 1+1/(2n)\)(c) \(\hat{m}= \text{max}\{X_1, ..., X_n\}/\sqrt{2}\)

Step by step solution

01

Find MLE for \(\theta\)

The likelihood function is given by \(L(\theta) = \prod_{i=1}^{n} f(x_{i} ; \theta)\). Substituting the probability density function, \(f(x;\theta)\), gives \(L(\theta) =\prod_{i=1}^{n} 2x_{i}/\theta^{2}\). Multiply \(2x_i/\theta^2\) n times for all \(x_i\), then the likelihood function becomes \(L(\theta)=(2/\theta^{2})^{n} \prod_{i=1}^{n} x_{i}\) which is valid when \(0<x_i \leq \theta\) for \(1\leq i \leq n\). Otherwise, the likelihood is zero.To find the MLE, we need to maximize this function. But the problem is easier to solve by instead maximizing the log likelihood, \(l(\theta) = \log(L(\theta))\), because the log is a monotonically increasing function. The log likelihood function is \(l(\theta) = n\log(2) - 2n\log(\theta) + \log\left(\prod_{i=1}^{n} x_{i}\right)\) and its derivative with respect to \(\theta\) equals \(-2n/\theta\).Setting the derivative to zero and solving for \(\theta\) gives rise to no solution. Remember the constraints, the likelihood function equals \(0\) when \(0<x_i< \theta\), and \(\theta\) equals \(0\) when \(x_{i}=\theta\) for some \(i\). Therefore \(x_i= \theta\) for some \(i\) maximizes the likelihood function. So, \(\hat{\theta}= \text{max} \{X_1, ..., X_n\}\) assuming at least one \(x_i\) equals \(\theta\).
02

Find Constant c

The problem asks for constant \(c\) such that \(E(c\hat{\theta})= \theta\). Since \(E(x)= \text{mean of } x\), let's first find out the expectation \(E(\hat\theta)\).Again, remember that \(\hat{\theta}= \text{max} \{X_1, ..., X_n\}\). Now, \(P(\hat{\theta}\leq x)= P(X_1\leq x, ..., X_n\leq x)= P(X_n\leq x)\). And each \(X_i\) has a distribution with \(f(x;\theta)= 2x/\theta^{2}\) for \(0<x \leq \theta\) and \(0\) elsewhere. So the cumulative distribution function (CDF) is \(P(X_i\leq x)= F(x)= x^{2}/\theta^{2}\) for \(0<x \leq \theta\).Then, the CDF of \(\hat{\theta}\), \(P(\hat{\theta}\leq x)\) equals \(x^{2n}/\theta^{2n}\) for \(0<x \leq \theta\). The expectation of \(\hat{\theta}\) can be found by integrating \((1-{x^{2n}/\theta^{2n}})\) from \(0\) to \(\theta\), which equals \(\theta* (1-1/(2n+1))\). Therefore, \(E(c\hat{\theta})= c\theta(1-1/(2n+1))\), and it equals \(\theta\) when \(c= 1/(1-1/(2n+1))\). In other words, \(c= (2n+1)/2n= 1+1/(2n)\).
03

Find MLE for the Median

For this given distribution \(f(x;\theta)=2x/\theta^{2}\) for \(0<x \leq \theta\), the cumulative distribution function is \(F(x)= x^{2}/\theta^{2}\) for \(0<x \leq \theta\). The median \(m\) is the value that makes \(F(m)=1/2\). Solving \(m^{2}/\theta^{2}=1/2\) for \(m\) gives \(m= \theta/\sqrt{2}\). As the median \(m\) equals \(\theta/\sqrt{2}\), which doesn't depend on the distribution of the data (doesn't have terms like \(X_1, ..., X_n\)), the MLE for \(m\), \(\hat{m}\) equals the MLE of \(\theta\), \(\hat{\theta}/\sqrt{2}= \text{max}\{X_1, ..., X_n\}/\sqrt{2}\).

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Key Concepts

These are the key concepts you need to understand to accurately answer the question.

Likelihood Function
The likelihood function is a fundamental concept in statistical inference, especially in the context of parameter estimation. It represents the probability of the observed data given a set of parameters, which in this case is \theta. More formally, for a given set of independent and identically distributed (iid) observations \(X_1, ..., X_n\), the likelihood function is defined as \[ L(\theta) = \prod_{i=1}^{n} f(x_{i} ; \theta) \], where \(f(x_{i} ; \theta)\) is the probability density function for each individual observation.

In our exercise, we observed a nonregular case where the pdf is given by \(f(x ; \theta) = 2x / \theta^2\) for \(0 < x \leq \theta\), and zero elsewhere. This form of pdf leads to the calculation of the likelihood function, which is later transformed by taking a log to simplify the maximization process. Taking the log, in many cases, coverts products into sums, making computations easier and often turning the maximization process into a differentiable problem. Here, the log likelihood function is determined after log-transforming the joint probability of the observed data.
Nonregular Case
The term nonregular case refers to situations in statistics where standard assumptions for parameter estimation do not hold. This can include scenarios such as parameters lying on the boundary of the parameter space, the presence of a discontinuity, or when the likelihood function does not have a well-defined maximum in the interior of the parameter space.

For the problem at hand, the nonregular nature stems from the fact that the likelihood function does not attain its maximum comfortably within the supposed interval. When taking the derivative of the likelihood and equating to zero, we do not find a solution within the interval for \(\theta\) to maximize it. Instead, we understand that the maximum likelihood occurs when one of our observed values \(x_i\) actually equals the true parameter \(\theta\). This is because the likelihood is only positive when \(x_i\) is less than or equal to \(\theta\), but it reaches its peak when \(x_i\) precisely equals \(\theta\).
Probability Density Function
The probability density function (pdf) is a function that describes the likelihood for a continuous random variable to take on a particular value. The pdf for a variable \(X\) is often denoted as \(f(x; \theta)\), where \(f\) articulates the probability that \(X\) falls within a particular range of values, given a set of parameters, often depicted by \(\theta\). Integrating the pdf over a range gives the probability that \(X\) falls within that range.

In our example, the pdf is given by \(f(x ; \theta)=2x / \theta^2\) for \(0

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Most popular questions from this chapter

A machine shop that manufactures toggle levers has both a day and a night shift. A toggle lever is defective if a standard nut cannot be screwed onto the threads. Let \(p_{1}\) and \(p_{2}\) be the proportion of defective levers among those manufactured by the day and night shifts, respectively. We shall test the null hypothesis, \(H_{0}: p_{1}=p_{2}\), against a two-sided alternative hypothesis based on two random samples, each of 1000 levers taken from the production of the respective shifts. Use the test statistic \(Z^{*}\) given in Example \(6.5 .3\). (a) Sketch a standard normal pdf illustrating the critical region having \(\alpha=0.05\). (b) If \(y_{1}=37\) and \(y_{2}=53\) defectives were observed for the day and night shifts, respectively, calculate the value of the test statistic and the approximate \(p\) value (note that this is a two-sided test). Locate the calculated test statistic on your figure in part (a) and state your conclusion. Obtain the approximate \(p\) -value of the test.

Suppose \(X_{1}, X_{2}, \ldots, X_{n}\) are iid with pdf \(f(x ; \theta)=(1 / \theta) e^{-x / \theta}, 0

Let \(X_{1}, X_{2}, \ldots, X_{n}\) be a random sample from a Poisson distribution with mean \(\theta>0 .\) Test \(H_{0}: \theta=2\) against \(H_{1}: \theta \neq 2\) using (a) \(-2 \log \Lambda\) (b) A Wald-type statistic. (c) Rao's score statistic.

Let \(X_{1}, X_{2}, \ldots, X_{n}\) and \(Y_{1}, Y_{2}, \ldots, Y_{m}\) be independent random samples from the two normal distributions \(N\left(0, \theta_{1}\right)\) and \(N\left(0, \theta_{2}\right)\). (a) Find the likelihood ratio \(\Lambda\) for testing the composite hypothesis \(H_{0}: \theta_{1}=\theta_{2}\) against the composite alternative \(H_{1}: \theta_{1} \neq \theta_{2}\). (b) This \(\Lambda\) is a function of what \(F\) -statistic that would actually be used in this test?

Let \(X\) have a gamma distribution with \(\alpha=4\) and \(\beta=\theta>0\). (a) Find the Fisher information \(I(\theta)\). (b) If \(X_{1}, X_{2}, \ldots, X_{n}\) is a random sample from this distribution, show that the mle of \(\theta\) is an efficient estimator of \(\theta\). (c) What is the asymptotic distribution of \(\sqrt{n}(\hat{\theta}-\theta) ?\)

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