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The uniform distribution on the integers\(1,2,3...\theta \), as defined in Sec. 3.1, where the value of\(\theta \)is unknown\(\left( {\theta = 1,2...} \right);T = \max \left( {{X_{1,}}...{X_n}} \right)\).

Short Answer

Expert verified

Statistic T is sufficient statistic.

Step by step solution

01

Given information

Random variables \({X_{1,}}...{X_n}\) form a random sample of size n.it deals with the study of the sufficient statistic of the known parameter \(\theta \) from the distribution provided.the distribution of study is \(Unif\left( {1,2,3...\theta } \right)\)

02

Calculating the joint pdf

The unknown parameters can take the only integer values, that is\(\theta \in \left\{ {1,2,3...} \right\}\)

The pdf of the given variable is\({f_x}\left( x \right) = \frac{1}{\theta },\;1 \le {X_i} \le \theta \)

Therefore the joint pdf is

\({f_{{x_1},...{x_n}}}\left( {{x_1},{x_2}...{x_n}} \right) = {\left( {\frac{1}{\theta }} \right)^n}I\left( {1,{X_{\left( 1 \right)}}} \right)I\left( {{X_{\left( n \right),}}\theta } \right)\)

Where

\(\begin{array}{l}{X_{\left( 1 \right)}} = \min \left\{ {{X_1},...{X_n}} \right\}\\{X_{\left( n \right)}} = \max \left\{ {{X_{1,}}...{X_n}} \right\}\end{array}\)

03

Computing the sufficient statistic

The sufficient statistic using NFFT, the following pdf can be factorised as:

\(\begin{array}{c}{f_{{x_1},...{x_n}}}\left( {{x_1},{x_2}...{x_n}} \right) = {\left( {\frac{1}{\theta }} \right)^n}I\left( {1,{X_{\left( 1 \right)}}} \right)I\left( {{X_{\left( n \right),}}\theta } \right)\\ = f\left( \theta \right)h\left( x \right)g\left( {\theta ,T\left( X \right)} \right)\end{array}\)

Where,

\(\begin{array}{c}f\left( \theta \right) = {\left( {\frac{1}{\theta }} \right)^n}\\h\left( x \right) = I\left( {1,{X_{\left( 1 \right)}}} \right)\\g\left( {\theta ,T\left( X \right)} \right) = I\left( {{X_{\left( n \right),}}\theta } \right)\end{array}\)

04

Verifying statistic T is sufficient statistic.

The above factorization shows that\({\left( {\frac{1}{\theta }} \right)^n}\)is the function of\(\theta \)only.

\(I\left( {1,{X_{\left( 1 \right)}}} \right)\)is the function of X only, while\(I\left( {{X_{\left( n \right),}}\theta } \right)\)is the only term which has the term of\(\theta \), through the sample\({X_{\left( n \right)}}\)only.

Therefore the function of the sample points which is linked with\(\theta \)is the lasrgest sample point or\({X_{\left( n \right)}}\).

Thus the sufficient statistic for unrestricted case is\({X_{\left( n \right)}}\),

Now since the parameter space of \(\theta \)is given in the question is discrete integer point and the distribution is uniform. Hence the sufficient statistic has also to be discrete integer point, which can be obtained as \(\hat \theta = round\left( {{X_{\left( n \right)}}} \right)\)

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Most popular questions from this chapter

Question : Suppose that \({{\bf{X}}_{\bf{1}}}{\bf{,}}...{\bf{,}}{{\bf{X}}_{\bf{n}}}\)form a random sample from a distribution for which the p.d.f. f (x|θ ) is as follows:

\({\bf{f}}\left( {{\bf{x|\theta }}} \right){\bf{ = }}\frac{{\bf{1}}}{{\bf{2}}}{{\bf{e}}^{{\bf{ - }}\left| {{\bf{x - \theta }}} \right|}}\,\,\,\,{\bf{, - }}\infty {\bf{ < x < }}\infty \)

Also, suppose that the value of θ is unknown (−∞ < θ < ∞). Find the M.L.E. of θ.

Question: Suppose that \({{\bf{X}}_{\bf{1}}}{\bf{,}}...{\bf{,}}{{\bf{X}}_{\bf{n}}}\) form a random sample from a normal distribution for which the mean μ is known, but the variance \({\sigma ^2}\) is unknown. Find the M.L.E. of\({\sigma ^2}\).

Suppose that we model the lifetimes (in months) of electronic components as independent exponential random variables with unknown parameter\(\beta \)We model\(\beta \)as having the gamma distribution with parameters a and b. We believe that the mean lifetime is four months before we see any data. If we were to observe 10 components with an average observed lifetime of six months, we would then claim that the mean lifetime is five months. Determine a and b. Hint: Use Exercise 21 in Sec. 5.7.

Suppose that 21 observations are taken at random from an exponential distribution for which the mean μ is unknown (μ > 0), the average of 20 of these observations is 6, and although the exact value of the other observation could not be determined, it was known to be greater than 15. Determine the M.L.E. of μ.

Let ξ(θ)be a p.d.f. that is defined as follows for constants

α >0 andβ >0:

\(\xi \left( \theta \right) = \left\{ \begin{aligned}{l}\frac{{{\beta ^\alpha }}}{{\Gamma \left( \alpha \right)}}{\theta ^{ - \left( {\alpha + 1} \right)}}{e^{ - \beta /\theta }}\,for\,\theta > 0\\0\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,\,for\,\,\,\theta \le 0\end{aligned} \right.\)

A distribution with this p.d.f. is called an inverse gamma distribution.

a. Verify thatξ(θ)is actually a p.d.f. by verifying that

\(\int_0^\infty {\xi \left( \theta \right)} d\theta = 1\)

b. Consider the family of probability distributions that can be represented by a p.d.f.ξ(θ)having the given form for all possible pairs of constantsα >0 andβ >

0. Show that this family is a conjugate family of prior distributions for samples from a normal distribution with a known value of the meanμand an unknown

value of the varianceθ.

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