then, use them.

However, if you make too many assumptions, then, we will deduct

marks.

Answer: From (7), we have

R ✓2

✓⇡(✓)e✓X 2 d✓
R = ↵X.

⇡(✓)e✓X
✓2
2 d✓

By interchanging derivative and integral, we have

Z R ✓2
@ ✓2 ✓⇡(✓)e✓X 2 d✓

log ⇡(✓)e ✓X 2 d✓ = R ✓2
= ↵X.
@X ⇡(✓)e✓X

2 d✓

Integrating both sides of the above equation and exponentiating, we get

✓2 X2
⇡(✓)e✓X 2 d✓ = e↵ 2 +c (8)

R ✓2

where ec = ⇡(✓)e 2 d✓. Dividing both sides of (8) by ec , we see that the moment
✓2 X2

generating function of a random variable with density ⇡(✓)e 2 at X is e↵ 2 . Thus,

✓2 (1 ↵)✓ 2

⇡(✓)e 2 must be density of N (0, ↵). Thus, ⇡(✓) = p 1 e 2↵ . Hence, the mean
↵/(1 ↵)

and variance of ⇡(·) are 0 and ↵

respectively.

1 ↵

8. Let X ⇠ p✓ , where ✓ 2 ⇥ ⇢ R. The minimax risk is defined as

RN (⇥) = inf sup✓2⇥ E`(| (X) ✓|).

We find a subset of ⇢ ⇥ for which the following property holds: There exists ✏, such

that for every 1 , 2 2 and 1 6= 2 we have | 1 2 | > 2✏. Prove that

RN (⇥) `(✏) inf sup✓2 P ( (X) 6= ✓).

Answer: First note that

inf sup E`(| (X) ✓|) inf sup E (`(✏)I(| (X) ✓| ✏))
✓2⇥ ✓2⇥

inf sup E (`(✏)I(| (X) ✓| ✏)) (9)

✓2

For a given estimator define

˜(X) = arg min | (X) ✓|.

✓2

If ˜(X) 6= ✓, then there exists ✓˜ such that | (X) ˜  | (X)

✓| ✓|. Then, we have

| (X) ✓| |✓˜ ✓| | (X) ˜

✓| |✓˜ ✓| | (X) ✓|.

˜
|✓ ✓|

Hence, | (X) ✓| 2
✏. Therefore the event | (X) ✓| ✏ is a superset of
˜(X) 6= ✓, which means

P✓ (| (X) ✓| > ✏) P✓ ( ˜(X) 6= ✓).

The rest of the proof is straightforward.