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Lecture15PropertiesofMaximumLikelihoodEstimatorsPrecisionofPointEstimatorsTheSamplingDistributionofaStatistic
PropertiesofM.L.E.sInvariance Theorem.LetbeanM.L.E.ofq,andletg(q)beafunctionofq.ThenanM.L.E.ofg(q)isNote:qcouldbeasingleparameteroraparametervector.
ExampleSupposethatrandomvariablesX1,…,Xnformarandomsamplefromanormaldistributionforwhichboththemeanmandthevarianceareunknown.WhataretheM.L.E.ofsandtheM.L.E.ofthesecondmoment?
ExampleSupposethatrandomvariablesX1,…,Xnformarandomsamplefromanormaldistributionforwhichboththemeanmandthevarianceareunknown.WhataretheM.L.E.ofsandtheM.L.E.ofthesecondmoment?TheM.L.E.’sofmandareFromtheinvarianceproperty,theM.L.E.ofsisandtheM.L.E.ofis
ExerciseSupposethatthelifetimeofacertaintypeoflamphasanexponentialdistributionforwhichthevalueoftheparameterbisunknown.SupposethatarandomsampleofnlampsofthistypearetestedforaperiodofThoursandthenumberXoflampswhichfailduringthisperiodisobserved;butthetimesatwhichthefailuresoccurredarenotnoted.DeterminetheM.L.E.ofbbasedontheobservedvalueofX.
Foreachlampi,lettidenoteitslifetime.TheprobabilitythatitslifetimeisnogreaterthanThours(failingduringThours)is TheprobabilitythatitslifetimeisgreaterthanThours(notfailingduringThours)is
ThustheprobabilitythatXlampsoutofnlampsfailduringThoursis
ConsistencyUndercertainconditionswhicharetypicallysatisfiedinpracticalproblems,thesequenceofM.L.E.’sisaconsistentsequenceofestimatorsofq:thesequenceofM.L.E.’sconvergesinprobabilitytotheunknownvalueofqas.
Thelikelihoodfunctionshouldtakeintoconsiderationallobserveddata.Example:Supposetheintervalsoftime,inminutes,b
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