Stanford Stats 200
Stanford Stats 200
Stanford Stats 200
(x + 1) x
x+2
f (x) = (1 + )
if x {0, 1, 2, . . .},
if x {0, 1, 2, . . .},
1
= ( Xi )
n i=1
f (x) = x+1
if x k,
if x < k,
and its mean is k/( 1) if > 1 (and if 1). The Gamma(a, b) distribution has pdf
ba a1
x exp(bx)
f (x) = (a)
if x > 0,
if x 0,
6. Let X be a discrete random variable with pmf f (x), where R is unknown. Let
X = {x R f (x) > 0} denote the support of the pmf f (x), and suppose that X does
not depend on . Now suppose that we have a prior () such that the prior mean exists
and is finite, i.e.,
< () d < .
Show that the posterior mean E( X = x) exists and is finite for all data values x X .
Hints: For a sum to be finite, it is necessary (though not sufficient) for every term in the
sum to be finite. Also, since X does not depend on , the marginal distribution of X is
strictly positive for all x X , i.e., m(x) > 0 for all x X .
7. Construct an example of a sequence of random variables {Xn n 1}, a limiting random
variable X, and a set A R such that Xn D X, but P (X A) = 1 while P (Xn A) = 0
for all n 1.
Hint: If your example takes more than one or two lines to explain, then it is more
complicated than it needs to be.
8. Let X1 , . . . , Xn be iid random variables such that E,2 (X1 ) = and Var,2 (X1 ) = 2 are
both finite. However, suppose that X1 , . . . , Xn are not normally distributed. Define
Xn =
1 n
Xi ,
n i=1
Sn2 =
n
1 n
1
2
2
[ Xi2 n( X n ) ].
(Xi X n ) =
n 1 i=1
n 1 i=1
(1 x)1
f (x) =
if 0 < x < 1,
otherwise.
Also,
E (X1 ) =
1
,
1+
Var (X1 ) =
.
(1 + )2 (2 + )
X n = n1 Xi .
i=1
10. Let X1 , X2 , . . . be a sequence of Unif(0, 1) random variables. For each n 1, let Yn have
a Bin(m, xn ) distribution conditional on Xn = xn , where m 1 is an integer.
(a) Find E(Y1 ) and Var(Y1 ) (not conditional on X1 ).
Note: The Unif(0, 1) distribution has mean 1/2 and variance 1/12, and the Bin(m, )
distribution has mean m and variance m(1 ). You may use any of these facts
without proof.
(b) For each n 1, let Zn = ni=1 Yi . Find sequences of constants bn and cn such that
bn (Zn cn ) D N (0, 1).
11. Let X1 , X2 , . . . be a sequence of random variables, where each Xn has pdf
f
(Xn )
n exp(nx)
(x) =
if x 0,
if x < 0.
Prove that Xn P 0.
12. Let X1 , X2 , . . . be iid N (, 2 ) random variables, and let X n and Sn2 be the usual sample
mean and sample variance (respectively) of the first n observations, i.e.,
Xn =
1 n
Xi ,
n i=1
Sn2 =
1 n 2
1 n
n
2
2
(X ) .
(Xi X ) =
Xi
n 1 i=1
n 1 i=1
n1
2x exp(x2 )
f (x) =
if x 0,
if x < 0,
where > 0 is unknown. Suppose we assign a Gamma(a, b) prior to , where a > 0 and
b > 0 are known.
Note: The Gamma(a, b) distribution has pdf
ba
a1
(a) x exp(bx)
f (x) =
if x > 0,
if x 0,
and its mean is a/b. You may use these facts without proof.
(a) Find the posterior distribution of .
(b) Find (or simply state) the posterior mean of .
14. Let X and Y be discrete random variables with the following joint pmf:
f (X,Y ) (0, 0) = 0.1,
with f (X,Y ) (x, y) = 0 for all other values of x and y. Find E(Y X = 0).
15. Let X1 , . . . , Xn be iid random variables with pdf
(x 1)2
exp[
]
2 x3
2x
f (x) =
if x > 0,
if x 0,
1
f (x) =
if < x < + 1,
otherwise,
x exp()
x!
for x {0, 1, 2, . . .}
ba
xa1 exp(bx)
(a)
for x > 0
2x exp(x2 )
f (x) =
0
where > 0 is unknown.
(a) Find the maximum likelihood estimator of .
if x 0,
if x < 0,
(b) Now suppose that instead of > 0, we take the parameter space to be {1, 2}, i.e.,
it is known with certainty that either = 1 or = 2. Find the maximum likelihood
of estimator of under this new restriction.
19. An incorrect result and its incorrect proof are shown below.
(Incorrect) Result: Students t distribution with one degree of freedom is a
discrete distribution that takes values +1 and 1 with probability 1/2 each.
(Incorrect) Proof: Let Z N (0, 1). ThenZ 2 has a chi-squared distribution with
one degree of freedom, and hence T = Z/ Z 2 has a Students t distribution with
one degree of freedom. However, T = Z/ Z 2 = Z/Z, which is either +1 or 1
according to whether Z > 0 or Z < 0, each of which occurs with probability 1/2.
State (in one or two sentences) why this proof of this result is incorrect.
20. Let X be a single discrete random variable with pmf
f (0) = (1 )/2,
f (1) = 1/2,
f (2) = /2,
0 if X = 0,
(X) =
1 if X > 0.
(You do not need to show this.)
(a) Find the bias of (as an estimator of ).
(b) Let = [0, 1] = { R 0 1} denote the parameter space. Show that for every
1 a+1
b
ba
(a) ( 2 ) exp( 2 )
2
( ) =
if 2 > 0,
if 2 0,
Note: This service is not intended for secure transactions such as banking, social media, email, or purchasing. Use at your own risk. We assume no liability whatsoever for broken pages.
Alternative Proxies: