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Lecture 12 B

(1) The document discusses maximum likelihood estimation for several probability distributions. For an exponential distribution with parameter θ, the MLE of θ is consistent but not unbiased based on a sample of n observations. The MLE of λ is not necessarily unbiased. (2) For a uniform distribution on (0,θ), the MLE θˆMLE = X(n) , the maximum observation, is shown to be consistent. Its distribution and mean are derived. An unbiased estimator θˆU is obtained by removing bias. (3) For a binomial distribution with parameter p, the MLE pˆ = X/n, where X is the number of successes, is shown to be consistent

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31 views1 page

Lecture 12 B

(1) The document discusses maximum likelihood estimation for several probability distributions. For an exponential distribution with parameter θ, the MLE of θ is consistent but not unbiased based on a sample of n observations. The MLE of λ is not necessarily unbiased. (2) For a uniform distribution on (0,θ), the MLE θˆMLE = X(n) , the maximum observation, is shown to be consistent. Its distribution and mean are derived. An unbiased estimator θˆU is obtained by removing bias. (3) For a binomial distribution with parameter p, the MLE pˆ = X/n, where X is the number of successes, is shown to be consistent

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Lecture March, 19, 2012

1. Let X be distributed with density function fX (x; ) = 1 ex/ , for x > 0.


(Remark: This is the usual exponential distribution parameterized
in terms of the mean ; an alternative parameterization is in terms of
= 1/, in which case the mean is 1/ and the variance 1/2 )
(a) Obtain the MLE of based on a sample of n independent observations.
(b) Is it: i) Consistent? ii) Unbiased?
(c) Is the MLE estimator of unbiased?
2. Consider the MLE estimator of in a U (0, ) distribution, based
on n independent observations X1 , . . . , Xn . We already know know
M LE = X(n) = max{X1 , . . . , Xn }.
(a) Show that it is consistent. (Hint: You can follow a direct approach
here. Fix a neighborhood of of arbitrary width  and show that
for sufficiently large n, the probability of being there is as close
to 1 as desired.)
(b) Find the distribution, then the density of M LE = X(n) . (Hint:
F
(x) = P (M LE x) = P (n Xi x).)
i=1

M LE

(c) Find the mean of M LE . Remove the bias to obtain an unbiased


estimator U .
(d) Find the variance of U . (Hint: Make use of the fact that
2 = 2 m2 ; you have computed the mean m in the previous
step, so you only need 2 .)
(e) What is the convergence rate to zero of the variance you have
found?
3. When we take a sample of n independent observations X1 , . . . , Xn from
a b(p) distribution, we have found that the MLE is X, the number of
ones divided by the number of throws. Show that it is is consistent.

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