1. Let X1, X2, be i.i.d.

random variables with the common pdf f(x) = 4x -5, if

x > 1 and f(x) = 0 otherwise. Obtain the limit in probability of
n n n n
1 1 1 n
(i) n X i ; (ii)
n
i (iii) n2 i (iv) n+2 X 1'i 2 .
X
2
X 2
;
i=1 i=1 i=1 i=1

X
X
b g ( k )
2. (Monte Carlo integration) Show that g ( x ) dx can be approximated by
f ( k ) ,
a
n
1

n k=1

where $f $ is a pdf/pmf with same support as $g$

and X1, .Xn are i.i.d. r.v.s. from $f $.

3. A roulette wheel has 38 slots, numbered 0, 00, and 1 through 36. If you bet
1 on a specified number, you either win 35 if the roulette ball lands on that
number or lose 1 if it does not. If you continually make such bets,
approximate the probability that
a) you are winning after 34 bets, (that is, the amount you win is > 0 after
34 bets); (b) you are winning after 1000 bets;
(c) you are winning after 100,000 bets.
(Let X denote the number of wins in n bets. Find the amount won in n bets.
X is a Binomial r.v. Use the CLT).

Estimation:

X n S 2n
4. Let X1, X2,, X n be a random sample, and let and denote the sample
mean and the sample variance, respectively. Let EX1 = 1 and j = E[X1 - 1] j, j=2,3,4.
2 n3
(i) Show that Var( S n ) =1/n (4 - n1 22 ). (Assume 1 = 0, show first

for n=4).
2
(ii) Obtain Cov( X n , S n ) in terms of j , j=1,2,3,4. Under what conditions is

2
Cov( X n , S n ) = 0. (Casella & Berger, problem 5.8).
5. A random sample X1,X2, . . . ,Xn of size n is taken from N(, 2), where the
variance = 2 is such that 0 < < and is a known real number. Show
X i


2
that the maximum likelihood estimator for is
n
^= 1
()
n i=1

and that this estimator is an unbiased estimator of .

6. Let X equal the number of flaws per 100 feet of a used computer tape.
Assume that X has a Poisson distribution with a mean of . If 40
observations of X yielded 5 zeros, 7 ones, 12 twos, 9 threes, 5 fours, 1 five,
and 1 six, find the maximum likelihood estimate of .

7. Consider a random sample of size n from a Poisson distribution with mean

Is S2 an unbiased estimator of ? The variance of S2 is

Var(S2) = (2n + n 1)/ (n2 -1). Which of X and S2 would you
recommend for estimating ? Why?

8. . Let X1, X2,, X n be a random sample from distributions with the given
probability density functions. In each case, find the maximum likelihood
estimator of .
(a) f (x; ) = (1/2) x ex/, 0< x < , 0< < , and
f (x; ) = 0, otherwise.
(b) f (x; ) = (1/23) x2 ex/, 0 < x < , 0< < .
and f (x; ) = 0, otherwise.

(c) f (x; ) = (1/2) e|x|, < x < , < <.

9. Use the method of moments to obtain the estimator of for the case in
problem 8( a). Note that f is the pdf of gamma(2, ).