Problem 1 [Total 30 marks]

(a) You have two dice which are identical except that one of them is fair and the other one is
loaded, with probability 50% of coming up 6 when rolled (rather than 1/6). You now randomly
choose one of the two dice (both equally likely), roll it once, and observe that 6 comes up.

Find the probability that the die which you have rolled is loaded. [10 marks]

(b) You have three dice which are identical except that two of them are fair and the other one is
loaded, with unknown probability p of coming up 6 when rolled (rather than 1/6). In your mind
there is initially a 50% chance that p = 1/5 and a 50% chance that p = 1/4. You now randomly
choose one of the three dice (all equally likely), roll it once, and observe that 6 comes up.

Find the probability that the die is loaded and also the probability that p = 1/4. [20 marks]

Problem 2 [20 marks total]

Find the minimum number of values that you should sample from the standard uniform distribution
if you want the average of these values to lie between 0.44 and 0.56 with a probability that is:

(a) as close to 95% as possible [10 marks]

(b) at least 95%. [10 marks]

Problem 3 [30 marks total]

(a) A fair coin is going to be tossed repeatedly until the sequence HT

(heads immediately followed by tails) has occurred.

Find the pmf of the number of tosses, both as a general function

and at 2, 3, 4, 5 and 6. Also calculate the expected number of tosses. [15 marks]

(b) A fair coin is going to be tossed n times (where n is given).

Find the expected value and variance of the number of times that the
sequence HT will occur, both as a function of n and if n = 40. [15 marks]

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Problem 4 [60 marks total]

Suppose that:

(Y | X = x ) ~ U (0, 4 x )
X ~ Beta (3,1) .

(a) Find the joint pdf of X and Y and evaluate this pdf at x = y = 0.2. [10 marks]

(b) Find the marginal pdf of Y and evaluate this pdf at y = 0.2. [10 marks]

(c) Find the marginal mean and variance of Y. [10 marks]

(d) Find and sketch the density of R = XY . Then calculate the value
of the density at r = 0.25 and illustrate this value in your sketch. [20 marks]

(e) Calculate the correlation between X and Y. [10 marks]

Problem 5 [50 marks total]

A bag contains four balls, of which k are black, where k is either 1 or 2.

Balls are drawn from the bag, randomly, repeatedly, one-by-one and with replacement,
until a black ball has been drawn.

We observe y, the number of times that a ball is drawn (including the last draw).

(a) Find the method of moments estimate of k, both as a function of y and if y = 5.

[10 marks]

(b) Find the maximum likelihood estimate of k, both as a function of y and if y = 5.

[15 marks]

(c) Find the mean and bias of the maximum likelihood estimator of k.
Clearly express each of these quantities as a function of k. [10 marks]

(d) Find an unbiased estimate of k, both as a function of y and if y = 5. [15 marks]

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Problem 6 [30 marks total]

(a) Let y1 ,..., yn be a random sample from a distribution with finite mean and variance.

Suppose that we observe y1 + ... + yn =4.25 and y12 + ... + yn2 = 27.34, where n = 250.

Find an approximate central 95% confidence interval for the mean of the distribution.
[10 marks]

(b) We observe a single value y from the uniform distribution between θ and 2θ , where θ > 0.

Find an exact central 80% confidence interval for θ , both as a function of y and if y = 5.4.
[10 marks]

(c) We observe x, the maximum of the n values in a random sample from the uniform distribution
between 0 and c, where c > 0.

Find an exact lower range 100(1 − α )% confidence interval for c, both as a function of x, n and α ,
and in the case where x = 2.4, n = 7 and α = 0.3. [10 marks]

Problem 7 [30 marks total]

A random sample of size n is taken from the uniform distribution between 0 and 2c,
where n is odd and c is an unknown positive constant.

Consider as two estimators of c the sample mean, Y , and the sample median, M.

(a) Find the variance of Y , both generally and in the case where c = 6 and n = 9. [10 marks]

(b) Find the efficiency of Y relative to M, both generally and in the limit as n → ∞ .
[20 marks]

Note: If the sample values are Y1 ,..., Yn , then the sample mean is Y = (Y1 + ... + Yn ) / n , and the
sample median is M = Y(( n +1)/2) , i.e. the (( n + 1) / 2)th order statistic, e.g. M = Y(7) if n = 13.

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Problem 8 [40 marks total]

Consider the following Bayesian model:

(Y | θ ) ~ Beta (θ + 1, θ + 1)
θ ~ Bernoulli (1/ 2) .

(a) Find and sketch the unconditional pdf of Y.

Then calculate and show in your sketch the value of the pdf at y = 0.1. [10 marks]

(b) Find the posterior distribution and pmf of θ given the data y.
Then calculate the value of the posterior pmf at θ = 0 if y = 0.5. [10 marks]

(c) Find the posterior mean and mode of θ , each as a function of y. Draw these two functions in a
single sketch, using a solid line for the posterior mean and a dashed line for the posterior mode.
Then calculate and show in your sketch the values of the two functions at y = 0.1. [20 marks]

Problem 9 [30 marks]

It has been alleged that p, the proportion of people with a particular disease, is 8%. We wish to test
this allegation against the counter-assertion that fewer than 8% of people have the disease. We have
decided to sample people from the population (of several hundred million people), randomly and
one-by-one, and test each person, until we have found a person with the disease. As a test statistic
we will use Y, the number of persons sampled (including the last person, who has the disease).
We want the test to have a significance level which is as close to 0.03 as possible but no larger.

Formulate a suitable hypothesis test. Clearly write down the two hypotheses involved, the exact
distribution of the test statistic, and the rejection region.

Then calculate the exact significance level of the test.

Next, find the probability of a Type II error, both as a function of p and if p = 0.04.

Then sketch this function, with a dot showing its value at p = 0.04.

Finally, find the p-value for the test, both generally as a function of y and if 37 people are sampled.
In the case of 37 people being sampled, conclude whether the null hypothesis should be rejected.

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Problem 10 [30 marks total] [to be attempted only by STAT6039 and STAT6013 students]

A random sample of size n = 50 from the beta distribution with parameters λ and 1
(and mean λ / (λ + 1) ) yields the following summary statistics:

n n n

∑ yi = 39.1251,
i =1
∑ yi2 = 31.9252,
i =1
∑ log y = −13.5177 .
i =1
i

(a) Find the maximum likelihood estimate of λ . [10 marks]

(b) Use results in (a) and the large-sample properties of maximum likelihood estimators
to find an approximate central 95% confidence interval for λ . [20 marks]

END OF EXAMINATION

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