Let X1,…,Xn be i.i.d. uniform random variables in [0,θ], for some θ>0. Denote by Mn=maxi=1,…,nXi.

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Let X1,…,Xn be i.i.d. uniform random variables in [0,θ], for some θ>0. Denote by

Mn=maxi=1,…,nXi.

Compute the cumulative distribution function Fn(t) of n(1−Mn/θ) for fixed t∈[0,n] and any positive integer n.

 

Fn(t)=

Compute the following limit.

limn→∞Fn(t)=

 

Next, we will use the previous question to find an interval I of the form I=[Mn,Mn+c], that does not depend on θ and such that

P[I∋θ]→.95, as n→∞.
 

The strategy now is to use a plug-in estimator for θ to replace it in the expression for c. Parts (a) and (b) suggest that we use c of the form (tn)Mn, where t ought to equal a certain value in order for P[I∋θ]→.95. What is the appropriate numerical value of t?

 

t=

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