LSTAT2050 - Analyse statistique II - Practice

session 1

Exercise 1 - Exponential family

Let X ∼ Beta(a, b), i.e. X has density function
Γ(a + b) a−1
pa,b (x) = x (1 − x)b−1 1[0,1] (x),
Γ(a)Γ(b)

where a, b > 0. Show that p belongs to the exponential family in the following scenarios
a,b

a) a is known and b is unknown;

b) Both a and b are unknown.
Exercise 2 - Suciency
Find a sucient statistic for the given parameter in the following scenarios :
a) Let X , . . . , X ∼ P ar(θ , θ ) the density of which is given by p (x) = θ θ x
iid θ1 −θ1 −1
1[θ2 ,∞) (x)
and where θ = (θ , θ ) with θ , θ > 0.
1 n 1 2 θ 1 2
T
1 2 1 2

b) Let X , . . . , X ∼ p (x), where p (x) = (2x/θ) exp[−x /θ] (x), with θ > 0.
1 n
iid
θ θ
2
1[0,∞)

c) Let X , . . . , X ∼ U [0, θ], with θ > 0.

1 n
iid

Exercise 3 - Ancillarity
In the so-called location-scale family of distribution, nding an ancillary statistic becomes a
trivial task. This exercise illustrates this point. Let us dene the following families.
 Location family : P = {p (x) : p (x) = g(x − µ)}. This means that there exists some
Z such that Z = X − µ and its density is given by p (z) = g(z), free of µ.
1 µ µ

 : P = {p (x) : p (x) = g( )}. This means that there exists some Z such
Z
1 x
Scale family
that Z = and its density is given by p (z) = g(z), free of σ.
2 σ σ σ σ
X

 : P = {p (x) : p = g( )}. This means that there

σ Z
1 x−µ
Location-scale family
exists some Z such that Z = and its density is given by p (z) = g(z), free of σ and
3 µ,σ µ,σ(x) σ σ
X−µ

µ.
σ Z

Use the properties of these families to nd ancillary statistics in the following scenarios :
a) X , . . . , X ∼ U [θ, θ + 1]
1 n
iid

b) X , . . . , X ∼ U [0, θ]
1 n
iid

c) X , . . . , X ∼ U [θ , θ ]
1 n
iid
1 2

LSTAT2050 - Analyse statistique II - Practice session 1 1

Exercise 4 - Completeness and minimal suciency
Let X , . . . , X iid
. Prove that T (x) = [X
∼ U [θ, θ + 1] (1) , X(n) ] is minimal sucient for θ but not
complete.
1 n

Exercise 5 - Basu theorem

This exercise illustrates the idea that Basu theorem may be used to compute moments of complex
statistics. Let X1 , . . . , Xn iid
∼ U [0, θ]. Use Basu theorem to compute E[X/X(n) ].

LSTAT2050 - Analyse statistique II - Practice session 1 2