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    X K U X U X A: N Be A Random Sample From The Distribution

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    1. The random variable X has a Weibull distribution with probability density function f(x; λ) = 2λ2x3e-λx for x > 0. 2. The method of moments estimator and maximum likelihood estimator of the parameter λ are derived based on a random sample of X. 3. Properties of distributions of functions of X such as X2 and the sum of Xis squared are discussed. Probabilities involving X and its transformations are calculated based on these distributional properties.

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    X K U X U X A: N Be A Random Sample From The Distribution

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    53 views13 pages
    1. The random variable X has a Weibull distribution with probability density function f(x; λ) = 2λ2x3e-λx for x > 0. 2. The method of moments estimator and maximum likelihood estimator of the parameter λ are derived based on a random sample of X. 3. Properties of distributions of functions of X such as X2 and the sum of Xis squared are discussed. Probabilities involving X and its transformations are calculated based on these distributional properties.

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    1. The random variable X has a Weibull distribution with probability density function f(x; λ) = 2λ2x3e-λx for x > 0. 2. The method of moments estimator and maximum likelihood estimator of the parameter λ are derived based on a random sample of X. 3. Properties of distributions of functions of X such as X2 and the sum of Xis squared are discussed. Probabilities involving X and its transformations are calculated based on these distributional properties.

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    53 views13 pages

    X K U X U X A: N Be A Random Sample From The Distribution

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    d
    1. The random variable X has a Weibull distribution with probability density function f(x; λ) = 2λ2x3e-λx for x > 0. 2. The method of moments estimator and maximum likelihood estimator of the parameter λ are derived based on a random sample of X. 3. Properties of distributions of functions of X such as X2 and the sum of Xis squared are discussed. Probabilities involving X and its transformations are calculated based on these distributional properties.

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    of 13

    STAT 410

    1.

    Fall 2016

    Let > 0 and let X 1 , X 2 , , X n be a random sample from the distribution


    with the probability density function

    f ( x; ) = 2 2 x 3 e x
    a)

    Find E ( X k ), k > 4.

    x > 0.

    Consider u = x 2 or u = x 2.

    ( a ) = u a 1 e u du , a > 0.

    Hint 1:
    Hint 2:

    E( Xk ) =

    x k 2 2 x 3 e x dx

    u = x2

    du = 2 x

    u 2
    =
    0
    =

    +1

    du =

    k 2

    k
    2

    +1

    e u du

    + 2 .
    2

    k 2

    OR
    E( Xk ) =

    x k 2 2 x 3 e x dx

    u = x2

    du = 2 x

    0
    2

    +1

    e u du

    k 2

    2
    1
    k

    + 2

    2
    0 k
    + 2
    2

    k
    since

    1
    k

    + 2
    2

    +2

    +1

    eu

    +2

    +1

    e u du

    is the p.d.f. of Gamma ( =

    + 2 ,
    2

    k 2

    k
    2

    + 2, =

    ).

    b)

    Obtain a method of moments estimator of , .

    That is, if E ( X ) = h ( ), solve X = h ( ) for .


    Suppose n = 5,

    x 1 = 0.6, x 2 = 1.1, x 3 = 2.7, x 4 = 3.3, x 5 = 4.5.

    and

    Find a method of moments estimate of .

    E( X ) =
    =

    1 2 1

    5
    3
    1 2
    1 2 3

    + 2 =
    =

    2 2
    2


    2 2

    = X

    x 1 = 0.6,

    ~
    1 =

    1
    1 2 3 1

    =
    2 2
    2

    1 2 3 1

    x 2 = 1.1,
    9

    ( )

    16 x

    ~
    1 =

    x 3 = 2.7,

    ( )

    16 X

    x 4 = 3.3,

    x 5 = 4.5.

    x =

    12.2
    = 2.44.
    5

    0.09448 0.29682.

    OR

    E( X2 ) =
    2

    2 2 2

    2
    1

    .
    + 2 = ( 3 ) = 1 2 ! =

    1
    = X2 =

    X i2
    n
    i =1

    ~
    2 =

    2
    X2

    2n
    n

    .
    2

    Xi

    i =1

    x 1 = 0.6,

    ~
    2 =

    x 2 = 1.1,

    2n
    n

    x i2

    i =1

    x 3 = 2.7,

    = 0.25.

    x 4 = 3.3,

    x 5 = 4.5.

    x i2

    i =1

    = 40.

    c)

    Obtain the maximum likelihood estimator of , .


    That is, find = arg max L ( ) = arg max ln L ( ),
    where L ( ) =

    f ( xi ; ).
    i =1

    Suppose n = 5,

    and

    x 1 = 0.6, x 2 = 1.1, x 3 = 2.7, x 4 = 3.3, x 5 = 4.5.

    Find the maximum likelihood estimate of .

    L( ) =

    2 2 x i3 e

    x i2

    i =1

    ( )

    ln L ( ) = n ln 2 + 2 n ln + ln x i3 x i2 .
    i =1

    ( ln L ( ) )' =

    n
    x i2 = 0.
    i =1

    2n

    i =1

    2n
    n

    X i2

    i =1

    x 1 = 0.6,

    2n
    n

    x 2 = 1.1,

    x i2

    i =1

    = 0.25.

    x 3 = 2.7,

    x 4 = 3.3,

    x 5 = 4.5.

    x i2

    i =1

    = 40.

    d)

    What is the probability distribution of W = X 2 ?

    Let W = X 2

    fW( w ) = fX( v( w ) ) | v'( w ) | = 2 2 w 3


    =

    e)

    ( 2 )

    w 21 e

    v'( w ) =

    W = v( W )

    X=

    ew

    1
    2 w

    1
    2 w

    = 2 we

    w > 0.

    W has Gamma ( = 2, =

    ) distribution.

    n
    What is the probability distribution of Y = X i2 ?
    i =1

    Suppose X and Y are independent, X is Gamma ( 1 , ), Y is Gamma ( 2 , ).


    If random variables X and Y are independent, then M X + Y ( t ) = M X ( t ) M Y ( t ).

    MX + Y( t) =

    X + Y is Gamma ( 1 + 2 , );

    i =1

    X i2 =

    ( 1 t ) 1 ( 1 t ) 2

    Wi

    i =1

    ( 1 t ) 1 + 2

    has Gamma ( = 2 n, =

    ) distribution.

    t<

    f)

    Suppose = 0.2. Find P ( X > 5 ) = P ( X 2 > 25 ).


    Hint:

    If T has a Gamma ( , = 1 ) distribution, where is an integer, then


    F T ( t ) = P ( T t ) = P ( Y ) and P ( T > t ) = P ( Y 1 ),
    where Y has a Poisson ( t ) distribution.

    W = X 2 has Gamma ( = 2, =

    ) distribution.

    P ( X > 5 ) = P ( X 2 > 25 ) = P ( W > 25 )


    = P ( Poisson ( 0.2 25 ) 1 )
    = P ( Poisson ( 5 ) 1 )
    = 0.040.

    g)

    Suppose = 0.2. Find P ( 3 < X < 4 ).


    Hint:

    If T has a Gamma ( , = 1 ) distribution, where is an integer, then


    F T ( t ) = P ( T t ) = P ( Y ) and P ( T > t ) = P ( Y 1 ),
    where Y has a Poisson ( t ) distribution.

    W = X 2 has Gamma ( = 2, =

    ) distribution.

    P ( 3 < X < 4 ) = P ( 9 < W < 16 ) = P ( W > 9 ) P ( W > 16 )


    = P ( Poisson ( 0.2 9 ) 1 ) P ( Poisson ( 0.2 16 ) 1 )
    = P ( Poisson ( 1.8 ) 1 ) P ( Poisson ( 3.2 ) 1 )
    = 0.463 0.171 = 0.292.

    h)

    n
    Suppose n = 5 and = 0.2. Find P ( X i2 < 35 ).
    i =1

    If T has a Gamma ( , = 1 ) distribution, where is an integer, then

    Hint:

    F T ( t ) = P ( T t ) = P ( Y ) and P ( T > t ) = P ( Y 1 ),
    where Y has a Poisson ( t ) distribution.

    X i2

    i =1

    has Gamma ( = 2 n, =

    X i2

    i =1

    ) distribution.

    has Gamma ( = 10, = 5 ) distribution.

    n
    P ( X i2 < 35 ) = P ( Gamma ( = 10, = 5 ) < 35 )
    i =1
    = P ( Poisson ( 0.2 35 ) 10 ) = 1 P ( Poisson ( 7 ) 9 )
    = 1 0.830 = 0.170.

    i)

    Suppose = 0.2. Find P ( 1.10 < X < 4.41 ).


    Hint:

    If T has a Gamma ( , = 1 ) distribution, where is an integer, then


    2T
    = 2 T has a 2 ( 2 ) distribution ( a chi-square distribution with

    2 degrees of freedom ).

    W = X 2 has Gamma ( = 2, =

    ) distribution.

    P ( 1.10 < X < 4.41 ) = P ( 1.2100 < W < 19.4481 )


    = P ( 2 0.2 1.2100 < 2 ( 4 ) < 2 0.2 19.4481 )
    = P ( 0.484 < 2 ( 4 ) < 7.77924 ) = 0.90 0.025 = 0.875.

    j)

    Suppose = 0.2. Find a such that P ( X 2 < a ) = 0.10.


    Hint:

    If T has a Gamma ( , = 1 ) distribution, where is an integer, then


    2T
    = 2 T has a 2 ( 2 ) distribution ( a chi-square distribution with

    2 degrees of freedom ).

    W = X 2 has Gamma ( = 2, =

    ) distribution.

    P ( X 2 < a ) = P ( W < a ) = P ( 2 ( 4 ) < 2 0.2 a ) = 0.10.

    02.90 ( 4 )

    0.4 a =

    a = 2.66.

    2.66 1.63095.

    = 1.064.

    k)

    Suppose = 0.2. Find b such that P ( X > b ) = 0.05.


    Hint:

    If T has a Gamma ( , = 1 ) distribution, where is an integer, then


    2T
    = 2 T has a 2 ( 2 ) distribution ( a chi-square distribution with

    2 degrees of freedom ).

    W = X 2 has Gamma ( = 2, =

    ) distribution.

    P ( X > b ) = P ( X 2 > b 2 ) = P ( W > b 2 ) = P ( 2 ( 4 ) > 2 0.2 b 2 ) = 0.05.

    0.4 b 2 =

    b =

    02.05 ( 4 )

    = 9.488.

    23.72 4.87032.

    l)

    n
    Suppose n = 5 and = 0.2. Find c such that P ( X i2 < c ) = 0.01.
    i =1
    Hint:

    If T has a Gamma ( , = 1 ) distribution, where is an integer, then


    2T
    = 2 T has a 2 ( 2 ) distribution ( a chi-square distribution with

    2 degrees of freedom ).

    X i2

    i =1

    has Gamma ( = 2 n, =

    X i2

    i =1

    ) distribution.

    has Gamma ( = 10, = 5 ) distribution.

    n
    n
    P ( X i2 < c ) = P ( 2 0.2 X i2 < 2 0.2 c ) = P ( 2 ( 20 ) < 0.4 c ) = 0.01.
    i =1
    i =1

    02.99 ( 20 )

    0.4 c =

    c = 20.65.

    = 8.26.

    m)

    n
    1
    Let Y = X i2 . Find E (
    ).
    Y
    i =1

    X i2

    Y =

    i =1

    i =1

    E(

    1
    n

    Xi

    Wi

    1
    = E(
    Y

    Hint: Recall part (e).

    has Gamma ( = 2 n, =

    ) distribution.

    2 n 2 n1 x
    x
    e
    dx
    x ( 2n )

    i =1

    2 n1 2 n2 x
    =
    .

    x
    e
    dx =
    2n 1
    ( 2n 1 ) 0 ( 2n 1 )

    n)

    Is the maximum likelihood estimator of , , an unbiased estimator of ?


    If is not an unbiased estimator of , construct an unbiased estimator of
    based on .

    2n
    E ( ) = E (
    Y

    2n
    .
    = +
    2n 1
    2n 1

    is NOT an unbiased estimator of .

    Consider

    2n 1
    2n 1
    =
    .
    =
    n
    2n

    X i2

    i =1
    Then

    2n 1
    E ( ) =
    E ( ) = .
    2n

    o)

    Find MSE ( ) = E [ ( )

    E[(

    x2

    ( bias ( ) ) 2 + Var ( ).

    2 n 2 n1 x
    x
    e
    dx
    ( 2n )

    ( 2 n 1 )( 2 n 2 )
    2

    ( 2 n 1 )( 2 n 2 )

    1
    Var ( ) = 4 n 2 Var (
    Y
    =

    2n 1

    bias ( ) = E ( ) =

    1 2
    ) ]=
    Y

    2 n2
    x 2 n3 e x dx
    ( 2n 2 )

    2
    2
    = 4n 2

    ( 2 n 1 )( 2 n 2 ) ( 2 n 1 ) 2

    4n 2 2

    ( 2n 1 ) 2 ( 2n 2 )

    MSE ( ) = ( bias ( ) ) 2 + Var ( ) =

    (4n 2 + 2n 2 ) 2

    ( 2n 1 ) 2 ( 2n 2 )

    2
    4n 2 2
    +
    ( 2n 1 ) 2 ( 2n 1 ) 2 ( 2n 2 )

    ( 2n + 2 ) 2 .
    ( 2 n 1 )( 2 n 2 )

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