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Tutorial 4

This document is a tutorial for MSc Economics and MSc Finance and Banking students, focusing on various statistical problems related to estimators and distributions. It includes problems on Bernoulli density, consistent estimators, efficiency of estimators, negative exponential distribution, and probability mass functions. Each problem requires calculations for unbiasedness, mean squared errors, and estimators using methods of moments and maximum likelihood.

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3 views2 pages

Tutorial 4

This document is a tutorial for MSc Economics and MSc Finance and Banking students, focusing on various statistical problems related to estimators and distributions. It includes problems on Bernoulli density, consistent estimators, efficiency of estimators, negative exponential distribution, and probability mass functions. Each problem requires calculations for unbiasedness, mean squared errors, and estimators using methods of moments and maximum likelihood.

Uploaded by

9pqw9fzvp7
Copyright
© All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd

STATISTICS: Tutorial 4

MSc Economics & MSc Finance and Banking


TA: Francesca Centofanti
[Link]@[Link]
Department of Economics and Finance
University of Rome Tor Vergata

October 11th, 2022

Problem 1
Let x be a single observation from the Bernoulli density

f (x|θ) = θx (1 − θ)1−x

1
where 0 < θ < 1. Let t1 (x) = x and t2 (x) = 2 with E(x) = θ and V (x) = θ(1 − θ).
a) Are the estimators t1 (x) and t2 (x) unbiased?
b) Compute their mean squared errors

Problem 2
A random sample x1 , . . . , xn is drawn from a population with pdf
1
f (x|θ) = (1 + θx)
2
3
Pn
where −1 < x < 1 and −1 < θ < 1. Show that 3X̄n = n i=1 xi is a consistent estimator
for θ.

Problem 3
Let (y1 , y2 , y3 ) be a random sample from a Normal distribution with µ and σ 2 unknown.
Which is a more efficient estimator for µ between µ̂1 and µ̂2 with
1 1 1
µ̂1 = y1 + y2 + y3
4 2 4
or
1 1 1
µ̂2 = y1 + y2 + y3
3 3 3

1
Problem 4
Let x1 , . . . , xn be an i.i.d. random sample with a negative exponential distribution

f (x|λ) = λ exp{−λx}
1
with E(x) =
λ
a) Find the Method of Moments Estimator (M M ) for the parameter λ
b) Find the Maximum Likelihood Estimator (M L) for λ.

Problem 5
Suppose that x1 = 3, x2 = 2, x3 = 1 and x4 = 3 is a set of independent observations from
the probability mass function

P (x = k|p) = (1 − p)k−1 p with k = 1, 2, 3, . . .

a) Find the Method of Moments Estimator (M M ) for the parameter p


b) Find the Maximum Likelihood estimator (M L) for p

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