NOT TO BE TAKEN AWAY

THE UNIVERSITY OF HONG KONG

DEPARTMENT OF STATISTICS AND ACTUARIAL SCIENCE

STAT2602/STAT3902

Midterm Exam Total: 60 marks

Date: Oct 25, 2022 Time: 1:30 p.m. - 3:00 p.m.

Answer ALL Three questions. Marks are shown in square brackets.

S&AS: STAT2602/STAT3902

1. Let X = {X1 , X2 , · · · , X30 } be an independent random sample from the discrete

distribution f (x), where
1
f (x) = , for x = 1, 2.
2
(1) Find the distribution of X1 + 3X2 by using the m.g.f. [5 marks]
30
1 X
(2) Specify the approximated distribution of Xi . [5 marks]
30 i=1

[Total: 10 marks]

2. Let X = {X1 , X2 , · · · , Xn } be an independent random sample from a uniformly

distribution over the interval [β, 0]. Find the MLE of β.
[Total: 10 marks]

3. Suppose that X = ξ1 − ξ2 , where ξ1 ∼ N (θ, 1), ξ2 ∼ N (λθ, λ2 ), and ξ1 and ξ2 are

independent. Here, λ ≥ 1 is a given constant, and θ is a unknown parameter.

(i) Calculate the moment generating function of X. [5 marks]

(ii) Calculate E(X 2 ). [3 marks]
(iii) Specify the distribution of X. [2 marks]
(iv) Let X1 , X2 , · · · , Xn be an independent random sample from the distribution
of X. Find the MLE of θ (denoted by θb1 ). [10 marks]
(v) Will θb1 be the UMVUE of θ and why? [10 marks]
n   i
1 X 1
(vi) Let θb2 = Xi be another estimator of θ. Calculate the mean
1 − λ i=1 2
squared error of θb2 . [5 marks]
(vii) Will θb2 be better than θb1 in terms of mean squared error and why? [5 marks]
[Total: 40 marks]

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S&AS: STAT2602/STAT3902

A LIST OF STATISTICAL FORMULAE

dr
 
1. MX (t) = E(e ). tX
MX (t) = µ0r .
dtr t=0

2. For X ∼ N(µ, σ 2 ),

(x − µ)2
   
1 1 22
fX (x) = √ exp − , MX (t) = exp µt + σ t .
2πσ 2 2σ 2 2

n n
1X 2 1X
2
3. X = Xi . S = Xi − X .
n i=1 n i=1
h i h i2
4. Bias(θ̂) = E(θ̂) − θ. E (θ̂ − θ)2 = Var(θ̂) + Bias(θ̂) .
" 2 #  2 
∂ ln f (X; θ) ∂ ln f (X; θ) 1
5. I(θ) = E =E − . Var(θ̂) ≥ .
∂θ ∂θ2 nI(θ)


6. Factorization: f (x1 , · · · , xn ; θ) = g T (x1 , · · · , xn ); θ h(x1 , · · · , xn ).
s
!
X
7. Expontial family: f (x; θ) = h(x)c(θ) exp pi (θ)ti (x) .
i=1

********** END OF PAPER **********

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