概率与统计（英文）chapter 6 Point Estimation.pptVIP

Example 6.15 Suppose X1, X 2,…,Xn is a random sample from an exponential distribution with parameter λ. λ is unknown. Determine the maximum likelihood estimator of λ Solution: Because of independence, the likelihood function is a product of the individual pdf’s: The ln(likelihood)is Example 6.16 Let X1, X 2,…,Xn is a random sample from a normal distribution .Determine the maximum likelihood estimator of Solution: The likelihood function is Estimating Function of Parameters PROPOSITION The Invariance Principle Let θ1,….,θm be the mle’s of the parameters θ1,…,θm .Then the mle of any function h(θ1,….,θm ) of these parameters is the function of the mle’s. P273 Exercise 22 Let X denote the proportion of allotted time that a randomly selected student spends working on a certain aptitude test. Suppose the pdf of X is Where -1θ. A random sample of ten students yields data x1=0.92, x2=0.79, x3=0.90, x4=0.65, x5=0.86, x6=0.47, x7=0.73, x8=0.97, x9=0.94, x10=0.77. a. Use the method of moments to obtain an estimator of θ and then compute the estimate for this data. b. Obtain the maximum likelihood estimator of θ and then compute the estimate for the given data. P275 32 a. Let X1,…,X2 be a random sample from a uniform distribution on [0,θ]. Then the mle of θ is use the fact that Y≤y to derive the cdf of Y. then show that the pdf of Y=max(Xi) is b. Use the result of part(a) to show that the mle is biased but that (n+1)max(Xi)/n is unbiased. * 6 Point Estimation 6.1 Some general concepts of point estimation 6.2 Methods of point estimation Introduction Given a parameter of interest, such as a population mean μ or population proportion p, the objective point estimating is to use a sample to compute a number that represents in some sense a good guess for the true value of the parameter. The resulting number is called a point estimate. In Section