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Solution:
(a)
P
n
E X = E( n1 Xi ) = 1
n nEX1 = ;
i=1
P
n P
n 2
V ar(X) = V ar( n1 Xi ) = 1
n2 V ar( Xi ) = 1
n2 nV ar(X1 ) = n ;
i=1 i=1
2
E(X 2 ) = V ar(X) + (E X)2 = n + 2
;
n
X
2 1
E(S ) = Ef (Xi X)2 g
n 1 i=1
n
X
1
= Ef (Xi2 2Xi X + X 2 )g
n 1 i=1
n
X n
X n
X
1
= f E(Xi2 ) 2E(X Xi ) + E( X 2 )g
n 1 i=1 i=1 i=1
| {z }
=nX
1
= nE(X12 ) 2nE(X 2 ) + nE(X 2 )
n 1
2
1 2 2 2
= fn( + ) n( + )g
n 1 n
2
= :
2
So, Sample variance is unbiased estimator for :
(b) We get
(n 1)S 2
V ar( 2
) = 2(n 1) )
(n 1)2
4
V ar(S 2 ) = 2(n 1) )
4
2
V ar(S 2 ) = :
n 1
1
(c) Compute MLE ^ 2 ;
2 1 1
P
n
(xi )2
L( ; j X) = n
2) 2
expf 2 2 g;
(2 i=1
n n 2 1
Pn
(xi )2
lnL = 2 ln 2 2 ln 2 2 ;
i=1
FOC:
n
@ ln L 1X
= 2
(xi )=0 (1)
@ i=1
n
@ ln L n 1 X
= + (xi )2 = 0 (2)
@ 2 2 2 2 4 i=1
P
n
From (2) ) ^ 2 = 1
n (xi X)2 ) ^ 2 = n 1 2
n S :
i=1
(d)
E ^ 2 = E( nn 1 S 2 ) = nn 1 2
(clearly, it is biased. )
Bias: E(^ 2 2
) = nn 1 2 2
= n1 2 (Notes: as n ! 1; bias ! 0 )
4
2(n 1)
V ar(^ 2 ) = V ar( nn 1 S 2 ) = ( nn 1 )2 V ar(S 2 ) = n2 :
(e) MSE of ^ 2 is given as
E(^ 2 2 2
) = V ar(^ 2 ) + (Bias(^ 2 ))2
2(n 1) 4 1
= + 2 4
n2 n
2n 1 4
= :
n2
Compare M SE(^ 2 ) with M SE(S 2 ); we …nd
2n 1 4 2 4
< )
n2 n 1
M SE(^ 2 ) < M SE(S 2 )
Solution:
2
(a) The likelihood function is given by
2 n=2 1
L= 2 exp 2
(Y X )0 (Y X )
2
The log likelihood function is then
n n 2 1
lnL = ln 2 ln 2|
(Y X )0 (Y X )
2 2 2 {z }
Y 0Y 2 0X0Y + 0X0X
2
(b) The score vector is de…ned by the FOC. Let =
@ ln L 1
= ( 2X 0 Y + 2X 0 X )
@ 2
1
= (X 0 Y X 0X ) = 0 )
^ 1
M LE = (X 0 X) X 0 Y:
@ ln L 1
= 2
X 0e
@ @
Thus, the Fisher Information Matrix is given by
1 1
X 0X 2 X 0e
I( ; ) = E 1 0 n 1 0
2e X 2 2 3e e
1
X 0X 0
= n
0 2 2
3
The Cramér-Rao lower bound is then
" #
1
1 (X 0 X) 0
I( ; ) = 2 2
0 n
2 1
(X 0 X) 0
= 2 4
0 n
Solution:
We approach this problem by using the Bellman equation and the guess and
verify method.
The Bellman equation is given by
V (xt ) = Ax2t
Replacing the guess in the Bellman, and using the transition equation, we get
n o
2
Ax2t = min x2t + vt2 + A (2xt + vt )
fvt g
4
The FOC gives the optimality condition that links xt and vt ;
2vt + 2 A (2xt + vt ) = 0
2 Axt
) vt =
1+ A
This result is used to …nd the constant A: Putting it back in the Bellman, we
get,
2 2
2 Axt 2 Axt
Ax2t = x2t + + A 2xt ;
1+ A 1+ A
!
2 2
2 A 2 A
Ax2t = 1+ x2t + A 2 x2t
1+ A 1+ A
Note that we can drop the term x2t , since the Bellman is valid for all values of xt
and we obtain a quadratic equation for A; which gives the value of the constant
given ; !
2 2
2 A 2 A
A= 1+ + A 2 :
1+ A 1+ A