LIMITING DISTRIBUTIONS - METU Middle East Technical …极限分布-论坛中东技术….pptVIP

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2018-06-24 发布于四川
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LIMITING DISTRIBUTIONS - METU Middle East Technical …极限分布-论坛中东技术….ppt

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LIMITING DISTRIBUTIONS - METU Middle East Technical …极限分布-论坛中东技术…

Example Let X1, X2,…,Xn be iid rvs from Unif(0,1) and Find approximate distribution of Yn. Find approximate values of The 90th percentile of Yn. Warning: n=20 is probably not a big enough number of size. * * SLUTKY’S THEOREM If Xn?X in distribution and Yn?a, a constant, in probability, then a) YnXn?aX in distribution. b) Xn+Yn?X+a in distribution. * SOME THEOREMS ON LIMITING DISTRIBUTIONS If Xn? c0 in probability, then for any function g(x) continuous at c, g(Xn) ?g(c) in prob. e.g. If Xn?c in probability and Yn?d in probability, then aXn+bYn ?ac+bd in probability. XnYn ?cd in probability 1/Xn ?1/c in probability for all c?0. * Example X~Gamma(?, 1). Show that * * * * * * * * * * * * * * * * * * * * * * * * * ORDER STATISTICS ANDLIMITING DISTRIBUTIONS * ORDER STATISTICS Let X1, X2,…,Xn be a r.s. of size n from a distribution of continuous type having pdf f(x), axb. Let X(1) be the smallest of Xi, X(2) be the second smallest of Xi,…, and X(n) be the largest of Xi. X(i) is the i-th order statistic. ORDER STATISTICS It is often useful to consider ordered random sample. Example: suppose a r.s. of five light bulbs is tested and the failure times are observed as (5,11,4,100,17). These will actually be observed in the order of (4,5,11,17,100). Interest might be on the kth smallest ordered observation, e.g. stop the experiment after kth failure. We might also be interested in joint distributions of two or more order statistics or functions of them (e.g. range=max – min) * * ORDER STATISTICS If X1, X2,…,Xn be a r.s. of size n from a population with continuous pdf f(x), then the joint pdf of the order statistics X(1), X(2),…,X(n) is The joint pdf of ordered sample is not same as the joint pdf of unordered sample. Order statistics are not independent. Future reference: For discrete distributions, we need to take ties into account (two X’s being equal). See, Casella and Berger, 1990, pg 231. Example Suppose that X1, X2, X3 is a r.s. from a population wit