MA629/08

UNIVERSITY OF KENT
FACULTY OF SCIENCE, TECHNOLOGY AND MEDICAL STUDIES

LEVEL I EXAMINATION

PROBABILITY AND INFERENCE

Friday, 9 May 2008: 2.00 – 4.00

This paper is divided into TWO sections as follows:

Section A: Six short questions each marked out of 10.
Candidates may attempt all SIX questions but are advised
that they cannot obtain a total of more than FORTY marks
on this section.
Section B: Five longer questions each marked out of 30. Ac-
tuarial Science students should NOT attempt question 9. All
other students should NOT attempt question 11. Candidates
may not attempt more than TWO of the permitted questions
in this section.
Candidates are advised to show their working on their scripts.
Marks might then be allocated for use of a correct method,
even if the numerical or algebraic result is incorrect.
Copies of the New Cambridge Statistical Tables are provided.
Approved calculators may be used.

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SECTION A

These questions will each be marked out of 10. Candidates

may attempt all SIX questions but are advised that they
cannot obtain a total of more than FORTY MARKS on this
section.

1. Suppose that X ∼ N (µ, 100). To test H0 : µ = 80 against H1 : µ > 80, let the critical region
be defined by C = {(x1 , x2 , . . . , x25 ) : x > 83}, where x is the sample mean of size n = 25
from this distribution.
(a) What is the significance level for this test? [ 5 marks ]
(b) Define the power function for this test, evaluate it at a number of points, and hence
produce a rough graph of this power function. [ 5 marks ]

2. (a) Obtain the moment generating function (m.g.f.) of a continuous random variable, U ,
uniformly distributed on the range (a, b). [ 5 marks ]
(b) Let r denote an integer strictly greater than 1. A discrete random variable Y takes the
values 0, 1, 2, . . . , (r − 1) each with probability 1/r.
ert − 1
Show that the m.g.f. MY (t) of Y is . [ 5 marks ]
r(et − 1)

3. The lifetimes of light bulbs can be regarded as independent exponential random variables of
mean θ. In an experiment, n of these bulbs are tested simultaneously until r of them fail.
Let t(1) denote the shortest life-time. Let t(2) denote the second shortest life-time, and so on.
The recorded life-times may therefore be arranged in ascending order: t(1) < t(2) < · · · < t(r) ,
with the other (n − r) lifetimes being greater than t(r) .
(a) Show that the likelihood function, L(θ), for θ is given by L(θ) = θ−r exp(−T /θ), where
r
X
T = t(i) + (n − r)t(r) .
i=1

[ 6 marks ]
(b) Obtain the maximum likelihood estimate of θ. [ 4 marks ]

4. The random variables X and Y have joint probability density function

(
k(x + 2y) , 0 ≤ x ≤ 2; 0 ≤ y ≤ 1; x + 2y ≤ 2;
fX,Y (x, y) =
0 otherwise.

(a) Find the value of k. [ 6 marks ]

(b) Are X and Y independent? Justify your answer. [ 4 marks ]
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5. The random variable X has probability density function


 3 3x2
− , 0 ≤ x ≤ 2;
fX (x) =
 4 016 otherwise,

A random sample of size 4 is drawn from this distribution.

4
1X
(a) Find the mean of X = Xi . [ 4 marks ]
4
i=1
19
(b) Show that the variance of X equals . [ 6 marks ]
320

6. (a) Define what is meant by:

(i) an unbiased estimator [ 2 marks ]
(ii) a consistent estimator [ 2 marks ]
(iii) a pivotal function. [ 2 marks ]
(b) Explain briefly how a pivotal function can be used to construct confidence intervals for
an unknown parameter in a statistical model. [ 4 marks ]

SECTION B

These questions will each be marked out of 30. Candidates

may not attempt more than TWO of the questions.

7. A random sample of two observations, x1 , x2 , is drawn from the distribution with probability
density function 
 2
(θ − x) , 0 < x < θ;
f (x; θ) = θ2
 0 otherwise.
(a) Find the method of moments estimator of θ and show that it is unbiased. [ 10 marks ]
(b) Show that the maximum likelihood estimator of θ is given by
 
1
q
θ̂ = 2 2
3(x1 + x2 ) + 9x1 − 14x1 x2 + 9x2 .
4

(Hint: You may find it helpful to plot a graph of the likelihood function. A formal proof that
the likelihood is maximised at θ̂ is not required.) [ 20 marks ]

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8. (a) Let X1 , X2 , . . . , Xn denote a random sample from the N (µ, 1) distribution. Use the
approach based on the maximum likelihood ratio test to obtain a 100(1 − α)% confidence
interval for µ. [ 15 marks ]
(b) Let X1 , X2 , . . . , Xn denote a random sample from the distribution with probability
density function (
e−(x−θ) , x ≥ θ;
f (x; θ) =
0 otherwise,
where θ is an unknown parameter.
Let Z = min(X1 , X2 , . . . , Xn ) and show that, for any positive k,

Pr(Z > k + θ) = e−nk .

Deduce that [Z − k, Z] is a 100(1 − α)% confidence interval for θ if k = −(log α)/n, for any
0 < α < 1. [ 15 marks ]

9. NOT TO BE ATTEMPTED BY ACTUARIAL SCIENCE STUDENTS

The random variable X has the N (µ, σ 2 ) distribution.
2 t2 /2
(a) Show that the moment generating function MX (t) of X is eµt+σ . [ 10 marks ]
−X
(b) Define Y = e and deduce from part (a) the value of E[Y ]. [ 5 marks ]
(c) Show that we can write
2 /2−µ)
E[XY ] = e(σ E[Z] ,
where the random variable Z has the N (µ − σ 2 , σ 2 ) distribution. [ 10 marks ]
(d) Deduce that the covariance of X and Y can be written in the form:
2 /2−µ)
Cov(X, Y ) = −σ 2 e(σ .

[ 5 marks ]
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10. (a) The continuous random variable X has the probability density function

 3 2
x , −1 < x < 1;
fX (x) = 2
 0 otherwise,

Find an expression for the probability density function of the random variable
1
Y = (1 + X 3 ) .
2
[ 10 marks ]
(b) X1 and X2 are independent random variables from an exponential distribution of mean
one.
If Y = loge (X1 /X2 ), show that the probability density function of Y is given by:

ey
fY (y) = .
(1 + ey )2

[ 20 marks ]

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11. ONLY TO BE ATTEMPTED BY ACTUARIAL SCIENCE STUDENTS.

(a)(i) Write down the one-way analysis of variance model by clearly specifying the assump-
tions you make.
[ 5 marks ]
(ii) Define TSS, the total sum of squares; BGSS, the between groups sum of squares and
WGSS, the within groups sum of squares. Under the hypothesis that there is no
group difference, show that the corresponding test statistic has an F-distribution.
[ 10 marks ]
(b) Consider independent observations split according to some factor into 3 groups:
I II III
128 132 127
135 133 125
133 135 134
131 132 121
132 136 125
129 137
133 135
135
130
139
(i) Construct the one-way ANOVA table for these data.
You might find useful the information that the value for TSS, the total sum of squares
of the data is 404.7727 and the means for each of the three groups are 131.5714, 134.4
and 126.4 respectively. [ 9 marks ]
(ii) Setting the significance level to α = 0.1%, perform the hypothesis test that there is
no difference between these three groups. [ 6 marks ]