Let X₁, X2,..., Xn be an IID sample from continuous distribution F. We are interested in estimating p = Pr(a ≤ x ≤ b). (a) Let be the nonparametric, plug-in estimator for p. Derive the formula for p. (b) Find the standard error of p. (c) Find an approximate 100(1-a)% confidence interval p.

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Let X1, X2, ..., Xn be an IID sample from continuous distribution F. We are interested
in estimating p = Pr(a < X < b).
(a) Let p be the nonparametric, plug-in estimator for p. Derive the formula for p.
(b) Find the standard error of p.
(c) Find an approximate 100(1 – a)% confidence interval p.
Transcribed Image Text:Let X1, X2, ..., Xn be an IID sample from continuous distribution F. We are interested in estimating p = Pr(a < X < b). (a) Let p be the nonparametric, plug-in estimator for p. Derive the formula for p. (b) Find the standard error of p. (c) Find an approximate 100(1 – a)% confidence interval p.
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