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    MStat-PSB-2021

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    vaishali
    The document consists of mathematical problems from two groups, A and B, covering topics such as continuity and differentiability of functions, matrix operations, probability distributions, expected values, and linear regression models. Group A includes problems related to functions defined on rational and irrational numbers, matrix equations, permutations of digits, and random variables. Group B focuses on probability with random variables, game theory, maximum likelihood estimation, urn problems, and linear regression analysis.

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    © All Rights Reserved
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    MStat-PSB-2021

    Uploaded by

    vaishali
    0 views4 pages
    The document consists of mathematical problems from two groups, A and B, covering topics such as continuity and differentiability of functions, matrix operations, probability distributions, expected values, and linear regression models. Group A includes problems related to functions defined on rational and irrational numbers, matrix equations, permutations of digits, and random variables. Group B focuses on probability with random variables, game theory, maximum likelihood estimation, urn problems, and linear regression analysis.

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    The document consists of mathematical problems from two groups, A and B, covering topics such as continuity and differentiability of functions, matrix operations, probability distributions, expected values, and linear regression models. Group A includes problems related to functions defined on rational and irrational numbers, matrix equations, permutations of digits, and random variables. Group B focuses on probability with random variables, game theory, maximum likelihood estimation, urn problems, and linear regression analysis.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    0 views4 pages

    MStat-PSB-2021

    Uploaded by

    vaishali
    The document consists of mathematical problems from two groups, A and B, covering topics such as continuity and differentiability of functions, matrix operations, probability distributions, expected values, and linear regression models. Group A includes problems related to functions defined on rational and irrational numbers, matrix equations, permutations of digits, and random variables. Group B focuses on probability with random variables, game theory, maximum likelihood estimation, urn problems, and linear regression analysis.

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    Group A

    1. Define f : R → R as

    cos(2x) if x is rational,
    f (x) =
    sin2 (x) if x is irrational.

    Find all the real numbers where

    (a) f is continuous,
    (b) f is differentiable.

    2. Consider the matrix  


    5 3
    P= 3 2  .
     

    8 5 3×2

    Find a matrix G such that AGA = A where A = PPT .

    3. Consider the set of all five digit integers formed by permuting the
    digits 1, 2, 4, 6 and 7. Let X denote a randomly chosen integer from
    this set and let Y denote the position, from the right, of the digit 4
    in the randomly chosen integer. For example, if the integer chosen is
    12647, then Y is 2 and for 41276, Y is 5.

    (a) Find E(X) and E(Y ).


    (b) Find E[X|Y = y] for all possible values of y.
    (c) Show that X and Y are uncorrelated but not independent.

    1
    Group B

    4. Let U1 , U2 , U3 be i.i.d. random variables which are uniformly dis-


    tributed on (0, 1). Let X = min(U1 , U2 ) and Y = max(U2 , U3 ).

    (a) Find P (X ≤ x, Y ≤ y) for all x, y ∈ R.


    (b) Find P (X = Y ).
    (c) Find E[XI{X=Y } ] where IA is the indicator function of A.

    5. Consider a game with six states 1, 2, 3, 4, 5, 6. Initially a player starts


    either in state 1 or in state 6. At each step the player jumps from one
    state to another as per the following rules.
    A perfectly balanced die is tossed at each step.

    (i) When the player is in state 1 or 6: If the roll of the die results
    in k then the player moves to state k, for k = 1, . . . , 6.
    (ii) When the player is in state 2 or 3: If the roll of the die results in
    1, 2 or 3 then the player moves to state 4. Otherwise the player
    moves to state 5.
    (iii) When the player is in state 4 or 5: If the roll of the die results in
    4, 5 or 6 then the player moves to state 2. Otherwise the player
    moves to state 3.

    The player wins when s/he visits 2 more states, besides the starting
    one.

    (a) Calculate the probability that the player will eventually move
    out of states 1 and 6.
    (b) Calculate the expected time the player will remain within states
    1 and 6.
    (c) Calculate the expected time for a player to win, i.e., to visit 2
    more states, besides the starting one.

    2
    6. Let X1 , . . . , Xn be i.i.d. random variables which are uniformly dis-
    tributed on (θ, 2θ), θ > 0.
    X(n)
    (a) Show that 2
    is the maximum likelihood estimator (MLE) of θ
    where X(n) = max(X1 , . . . , Xn ).
    (b) Find an unbiased estimator for θ based on the MLE.
    (c) Given any  > 0, show that
     
    X(n)
    lim P − θ >  = 0.
    n→∞ 2

    7. There are two urns each contains N balls numbered from 1 to N .


    From each urn a sample of size n is selected without replacement.
    Denote the set of numbers appearing in the first and second samples
    by s1 = {i1 , . . . , in } and s2 = {j1 , . . . , jn } respectively. Let

    X = |s1 ∩ s2 | = number of common elements in s1 and s2 .

    (a) Find the probability distribution of X.


    (b) Suppose n = 6 and the observed value of X is 4. Obtain a
    method of moments estimate of N .

    8. Let X1 , X2 , X3 be i.i.d. random variables from N (µ, σ 2 ). Let


    3 3 3
    1X X 1X
    X̄ = Xi , T1 = Xi 2 , T2 = (Xi − X̄)2 .
    3 i=1 i=1
    3 i=1

    (a) Compute E[T1 |X̄] and E[T1 |T2 ]


    (b) Obtain the exact critical region of a level α (0 < α < 1) test for
    X̄ 2
    H0 : µ = 0 vs H1 : µ 6= 0 that rejects H0 if and only if is
    T1
    sufficiently large.

    3
    9. Consider a linear regression model:

    yi = α + βxi + ei , i = 1, 2, . . . , n

    where xi ’s are fixed and ei ’s are i.i.d. random errors with mean 0 and
    variance σ 2 .
    Define two estimators of β as follows
    Pn Pn
    i=1 y i xi y i
    βb1 = Pn and βb2 = Pi=1
    n 2
    .
    i=1 xi i=1 xi

    (a) Obtain an unbiased estimator of β as a linear combination of βb1


    and βb2 .
    (b) Find mean squared errors of βb1 and βb2 . Which, between βb1 and
    βb2 , has lower mean squared error?

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