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    MIT18.650. Statistics For Applications Fall 2016. Problem Set 4

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    yilvas
    This document contains a statistics problem set with 6 problems. Problem 1 asks to find maximum likelihood estimators and Fisher information for several probability distributions including Bernoulli, Poisson, exponential, Gaussian, shifted exponential, and log-normal. Problem 2 asks to find moment estimators for the parameters of the distributions in Problem 1. Problem 3 considers a censored data problem where individuals report whether their salary exceeds a threshold, assuming salaries are exponentially distributed. It asks questions about the distribution of responses, consistent estimators of the parameter λ, asymptotic normality, and compares the Fisher information when salaries are directly observed versus when only responses are observed.

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    MIT18.650. Statistics For Applications Fall 2016. Problem Set 4

    Uploaded by

    yilvas
    92 views3 pages
    This document contains a statistics problem set with 6 problems. Problem 1 asks to find maximum likelihood estimators and Fisher information for several probability distributions including Bernoulli, Poisson, exponential, Gaussian, shifted exponential, and log-normal. Problem 2 asks to find moment estimators for the parameters of the distributions in Problem 1. Problem 3 considers a censored data problem where individuals report whether their salary exceeds a threshold, assuming salaries are exponentially distributed. It asks questions about the distribution of responses, consistent estimators of the parameter λ, asymptotic normality, and compares the Fisher information when salaries are directly observed versus when only responses are observed.

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    MIT18.650. Statistics for Applications Fall 2016. Problem Set 4

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    This document contains a statistics problem set with 6 problems. Problem 1 asks to find maximum likelihood estimators and Fisher information for several probability distributions including Bernoulli, Poisson, exponential, Gaussian, shifted exponential, and log-normal. Problem 2 asks to find moment estimators for the parameters of the distributions in Problem 1. Problem 3 considers a censored data problem where individuals report whether their salary exceeds a threshold, assuming salaries are exponentially distributed. It asks questions about the distribution of responses, consistent estimators of the parameter λ, asymptotic normality, and compares the Fisher information when salaries are directly observed versus when only responses are observed.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    92 views3 pages

    MIT18.650. Statistics For Applications Fall 2016. Problem Set 4

    Uploaded by

    yilvas
    This document contains a statistics problem set with 6 problems. Problem 1 asks to find maximum likelihood estimators and Fisher information for several probability distributions including Bernoulli, Poisson, exponential, Gaussian, shifted exponential, and log-normal. Problem 2 asks to find moment estimators for the parameters of the distributions in Problem 1. Problem 3 considers a censored data problem where individuals report whether their salary exceeds a threshold, assuming salaries are exponentially distributed. It asks questions about the distribution of responses, consistent estimators of the parameter λ, asymptotic normality, and compares the Fisher information when salaries are directly observed versus when only responses are observed.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    of 3

    18.650.

    Statistics for Applications


    Fall 2016. Problem Set 4
    Due Friday, Oct. 7 at 12 noon

    NOTE: there was a typo in the definition of the Log-normal pdf

    Problem 1 Maximum likelihood and Fisher information


    For each of the following distributions, compute the maximum likelihood estimator for
    the unknown (one or two dimensional) parameter, based on a sample of n i.i.d. random
    variables with that distribution. In each case, is the Fisher information well defined ? If
    yes, compute it.
    1. Ber(p), 0 < p < 1;
    2. Poisson with parameter λ > 0:
    k
    −λ λ
    Pλ [X = k] = e , ∀k ∈ IN;
    k!

    3. Exponential with parameter λ > 0, with density

    fλ (x) = λe−λx , ∀x > 0;

    4. Gaussian with parameters µ ∈ IR, σ 2 > 0 (recall that the second parameter is σ 2 ,
    not σ);
    5. Shifted exponential distribution with parameters a ∈ IR, λ > 0 with density

    fa,λ (x) = λe−λ(x−a) 1x≥a , ∀x ∈ IR;

    6. Log-normal distribution with parameters µ ∈ IR and σ 2 > 0, with density


    1 1 2
    fµ,σ2 (x) = √ e− 2σ2 (ln x−µ) , ∀x > 0.
    x 2πσ 2

    Problem 2 Method of moments


    For each distribution of Problem 1, find the moment estimator for the unknown pa­
    rameter, based on a sample of n i.i.d. random variables.

    Problem 3 Censored data


    In a given population, n individuals are sampled randomly, with replacement, and each
    sampled individual is asked whether his/her salary is greater than some fixed threshold z.
    Assume that the salary of a randomly chosen individual has the exponential distribution
    with unknown parameter λ. Asking whether the salary overcomes a given threshold rathen
    than directly asking for the salary increases the number people that are willing to answer
    and decreases the number of mistakes in the collected answers. Denote by X1 , . . . , Xn the
    binary responses (Xi ∈ {0, 1}, i = 1, . . . , n) of the n sampled individuals.
    1. What is the distribution of the Xi ’s ?
    2. Let X̄n be the proportion of sampled individuals whose response was 1 (correspond­
    ing to Yes). Prove that X̄n is asymptotically normal and compute the asymptotic
    variance.
    3. Find a function f such that f (X ¯ n ) is a consistent estimator of λ.

    4. Prove that f (X ¯
    n ) is asymptotically normal and compute the asymptotic variance.
    5. What equation must z satisfy in order to minimize the asymptotic variance com­
    puted in Question 4 ? Write this equation in the form gλ (z) = z, where gλ is a
    function that depends on the unknown parameter λ.
    6. Let Y1 , . . . , Yn be the salaries of the n sampled people.
    a) If one could actually observe Y1 , . . . , Yn , what would be the statistical model
    ?
    b) In that case, what would be the Fisher information (as a function of the
    unknown parameter λ ? Denote it by IY (λ).
    c) In the model where only the Xi ’s are observed (with fixed threshold z), what
    is the Fisher information ? Denote it by IX (λ).
    d) Compare IY (λ) and IX (λ): Which one is the largest ? How do you interpret
    this fact ?

    MIT OpenCourseWare
    https://ocw.mit.edu

    18.650 / 18.6501 Statistics for Applications


    Fall 2016

    For information about citing these materials or our Terms of Use, visit: https://ocw.mit.edu/terms.

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