STAT 480b

Answer Key to Problem Set No. 4

Directions: Do the following problems completely. You are expected to work independently
of each other. Show all your work. No solution, no credit.

1. Let X1 , . . . , Xn be a random sample from a population with pdf

1
f (x; α) = xβ0 −1 e−x/α , x ≥ 0
αβ0 Γ(β0 )
where β0 > 0 is a known constant. Find the UMVUE of α. (4 points)

Solution: There are two ways of finding the UMVUE of α.

Method 1: Note that
· Pn ¸
i=1 Xi
E [α̂] = E =α
β0 n
since E[Xi ] = αβ0 . Moreover,

nα2 β0 α2
Var[α̂] = 2 2
= .
β0 n β0 n
To find the CRLB, one can obtain that
" #
d2 2x β0 d2 β0
2
ln f (x; α) = − 3 + 2 =⇒ −E 2
ln f (x; α) = 2 .
dα α α dα α

Thus, the CRLB is

1 α2
CRLB = ³ ´ = = Var[α̂]
n β0 β0 n
α2

which shows that α̂ is the UMVUE of α.

Method 2: The likelihood function can be written as

à n !β0 −1
Y n
³ ´−n
L(α) = f (x1 , . . . , xn ; α) = xi e−sumi=1 xi /α αβ0 Γ(β0 )
i=1

which implies that a sufficient statistic for α is

n
X
S= Xi .
i=1

Moreover, the pdf of X can be written as

³ ´−1
f (x; α) = αβ0 Γ(β0 ) xβ0 −1 e−x/α

1
which means that f (x; α) is a member of the regular exponential class with t(x) = x. Thus, S
is a complete and sufficient statistic for α. Since E (S) = nαβ0 , it follows that
Pn
∗ i=1 Xi
T =
β0 n
is the UMVUE of α using Lehmann-Scheffe. This is the case since it is a function of the complete
sufficient statistic S and is an unbiased estimator of α.

2. Consider a random sample X1 , . . . , Xn from a normal distribution with mean 0 and variance
θ.

(a) Using both the definition of a sufficient statistic and the factorization criterion, show that
Pn 2
the statistic S = i=1 Xi is a sufficient statistic for θ. (5 points)

Solution: Using the factorization criterion, S is the sufficient statistic since

µ ¶n Pn
1 x2i /2θ
f (x1 , . . . , xn ; θ) = √ e− i=1 .
θ2π
On the other hand, we know that
Pn 2
i=1 Xi
Y = ∼ χ2 (n).
θ
Thus, by taking S = θY , it follows that
µ µ ¶¶−1
n/2 n n
f (s; θ) = (2θ) Γ s 2 −1 e−s/2θ
2
which means that the conditional pdf of X1 , . . . Xn given S is
µ ¶
−n/2 n 1− n
f(X1 ,...,Xn )|S (x1 , . . . xn |s; θ) = π Γ s 2
2
which is free of θ. Hence, S is a sufficient statistic for θ.

(b) Show that S is complete and sufficient. (2 points)

Solution: One can show that the pdf of Xi can be written as

2 /2θ
f (x; θ) = (θ2π)−1/2 e−x = c(θ)h(x)e−q(θ)t(x)
Pn
with t(x) = x2 . Thus, S = 2
i=1 Xi is a complete sufficient statistic for θ.

(c) Find the UMVUE of θ2 . (4 points)

Solution: Since S/θ is χ2 (n) random variable, it follows that

2
 µ ¶ µ ¶
S S
E = n and Var = 2n.
θ θ
Since S is a complete and sufficient statistic for θ, we need to find an unbiased estimator, T ∗ ,
of θ that is a function of S. By Lehmann-Scheffe, the UMVUE of θ is T ∗ . One can see that
µ ¶2 · µ ¶¸2
S S
2n = E − E .
θ θ
After straightforward simplifications, it follows that
à !
∗ S2
E(T ) = E = θ2
n(2 + n)

which means that T ∗ is the UMVUE of θ2 .