Let X1,…,Xn be i.i.d. uniform random variables in [0,θ], for some θ>0. Denote by Mn=maxi=1,…,nXi.
Let X1,…,Xn be i.i.d. uniform random variables in [0,θ], for some θ>0. Denote by Mn=maxi=1,…,nXi.
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
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Question
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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Compute the cumulative distribution
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→∞.
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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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