STATS 200 (Stanford University, Summer 2015)

Homework 3:

Due at 1:00 p.m. on July 17

DeGroot & Schervish X.Y .Z means Exercise Z at the end of Section X.Y in our text,
Probability and Statistics (Fourth Edition) by Morris H. DeGroot and Mark J. Schervish.
1. DeGroot & Schervish 7.3.12. Also find the posterior mean and the posterior mode.
2. DeGroot & Schervish 7.4.6.
3. Let X1 , . . . , Xn be iid random variables with a continuous uniform distribution on [0, ],
where > 0 is unknown. Suppose we assign to the prior pdf

q kq

q+1
() =

if k,
if < k,

where k > 0 and q > 0 are constants.

Note: This distribution is called the Pareto(k, q) distribution, and its mean is kq/(q 1)
if q > 1 (and if q 1). You may use these facts without proof.
(a) Find the posterior distribution of .
(b) Find (or simply state) the posterior mean of .
4. Let X1 , . . . , Xn be iid random variables with pdf or pmf of the form
f (x) = f (x ) = exp[() r(x) ()] h(x),
where is unknown, and where , r, , and h are real-valued functions. Suppose we
assign to the prior pdf
() = c exp[a () + b ()],
where a and b are constants, and where c1 = exp[a () + b ()] d < , i.e., c is
simply some appropriate normalization constant. Show that the posterior pdf of has
the form
( x1 . . . , xn ) = c exp[
a () + b ()]
where a
and b do not depend on , and where c1 = exp[
a () + b ()] d < .
Note: Your answer should clearly show how a
and b can be written in terms of some or
all of the following: the constants a and b; the sample size n; the functions , r, , and h;
and the data x1 , . . . , xn .

Homework 3: Due at 1:00 p.m. on July 17

5. We now consider a Bayesian approach to problem 7 of Homework 2. Suppose that is an

unknown positive integer, and suppose that X has the discrete uniform distribution
on {1, . . . , }. Let the prior pmf of be

6 1

2 2
() =

if {1, 2, . . .},
otherwise,

where the that appears as 2 in the denominator is (in this case) the usual mathematical
constant 3.14. Suppose we observe X = x = 715.
Note: To streamline the notation for this problem, define the constants
1
1.4 103 ,
2
k
k=715

a715 =

1
9.8 107 .
3
k
k=715

b715 =

You may wish to use one or both of these constants in your solution.
(a) Find the posterior distribution of .
(b) Find the posterior mean of . (Give an approximate numerical answer based on the
approximate numerical values for a715 and b715 provided above.)