(a) The exponential distribution with mean > 0 has pdf 1 fo(x) = = √e-²/0₁ е This distribution has mean and variance 02. Show that the sample mean X = n¹₁ X, is a minimum-variance unbiased estimator of 0. Verify that X achieves the CRLB for estimating 0. (b) The Pareto distribution with mean> 1 has pdf x-(²0¹), x>1. fo(x) = = x > 0. 0 (₁²₁) - 1 Suppose X₁,..., Xn are iid with common pdf fe(.). (i) The sample mean X = 1 X; is an unbiased estimator of 0. Derive a formula for its variance as a function of 0. n (ii) Write down the log-likelihood le(0; X) based on X = (X₁,..., Xn). (iii) Write down the score function(0; X). Can it be written in the form C₂ [0(X) - 0]?

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4.
(a) The exponential distribution with mean > 0 has pdf
1
-x/0
fe(x):
= e
fo(x) =
2
This distribution has mean and variance 02. Show that the sample mean
X = n¹₁ X, is a minimum-variance unbiased estimator of 0. Verify
that X achieves the CRLB for estimating 0.
-1
(b) The Pareto distribution with mean 0 > 1 has pdf
=
x > 0.
x-(207)
(1²1)
A-
"
x > 1.
Suppose X₁,..., Xn are iid with common pdf fo(·).
1 n
(i)
The sample mean X = 1X₂ is an unbiased estimator of 0. Derive
a formula for its variance as a function of 0.
n
(ii) Write down the log-likelihood lo(0; X) based on X = (X₁,..., Xn).
(iii) Write down the score function(0; X). Can it be written in the form
2% [B(X) – 0] ?
-
Transcribed Image Text:4. (a) The exponential distribution with mean > 0 has pdf 1 -x/0 fe(x): = e fo(x) = 2 This distribution has mean and variance 02. Show that the sample mean X = n¹₁ X, is a minimum-variance unbiased estimator of 0. Verify that X achieves the CRLB for estimating 0. -1 (b) The Pareto distribution with mean 0 > 1 has pdf = x > 0. x-(207) (1²1) A- " x > 1. Suppose X₁,..., Xn are iid with common pdf fo(·). 1 n (i) The sample mean X = 1X₂ is an unbiased estimator of 0. Derive a formula for its variance as a function of 0. n (ii) Write down the log-likelihood lo(0; X) based on X = (X₁,..., Xn). (iii) Write down the score function(0; X). Can it be written in the form 2% [B(X) – 0] ? -
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