Question

Let {Xn} be a sequence of random variables that follow a geometric distribution with parameter λ/n, where n > λ > 0. Show that as n → ∞, Xn/n converges in distribution to an exponential distribution with rate λ.

Answer #1

Let X1, X2, . . . , Xn be iid following exponential distribution
with parameter λ whose pdf is f(x|λ) = λ^(−1) exp(− x/λ), x > 0,
λ > 0.
(a) With X(1) = min{X1, . . . , Xn}, find an unbiased estimator
of λ, denoted it by λ(hat).
(b) Use Lehmann-Shceffee to show that ∑ Xi/n is the UMVUE of
λ.
(c) By the definition of completeness of ∑ Xi or other tool(s),
show that E(λ(hat) | ∑ Xi)...

Suppose that X|λ is an exponential random variable with
parameter λ and that λ|p is geometric with parameter p. Further
suppose that p is uniform between zero and one. Determine the pdf
for the random variable X and compute E(X).

Let X and Y be independent random variables following Poisson
distributions, each with parameter λ = 1. Show that the
distribution of Z = X + Y is Poisson with parameter λ = 2. using
convolution formula

Let X1, ..., Xn be a sample from an exponential population with
parameter λ.
(a) Find the maximum likelihood estimator for λ. (NOT PI
FUNCTION)
(b) Is the estimator unbiased?
(c) Is the estimator consistent?

Let
X1 and X2 be IID exponential with parameter λ > 0. Determine the
distribution of Y = X1/(X1 + X2).

Let X be an exponential random variable with parameter λ > 0.
Find the probabilities P( X > 2/ λ ) and P(| X − 1 /λ | < 2/
λ) .

(14pts) Let X and Y be i.i.d. geometric random variables with
parameter (probability of success) p, 0 < p < 1. (a) (6pts)
Find P(X > Y ). (b) (8pts) Find P(X + Y = n) and P(X = k∣X + Y =
n), for n = 2, 3, ..., and k = 1, 2, ..., n − 1.

Let (xn) be Cauchy in (M, d) and a ∈ M. Show that the
sequence
d(xn, a) converges in R. (Note: It is not given that
xn converges to a.
Hint: Use Reverse triangle inequality.)

Exercise 2.4.5: Suppose that a Cauchy sequence {xn} is such that
for every M ∈ N, there exists a k ≥ M and an n ≥ M such that xk
< 0 and xn > 0. Using simply the definition of a Cauchy
sequence and of a convergent sequence, show that the sequence
converges to 0.

Let 0 < θ < 1 and let (xn) be a sequence where
|xn+1 − xn| ≤ θn for n
= 1, 2, . . ..
a) Show that for any 1 ≤ n < m one has |xm −
xn| ≤ (θn/ 1-θ )*(1 − θ m−n ).
Conclude that (xn) is Cauchy
b)If lim xn = x* , prove the following error in
approximation (the "error in approximation" is the same as error
estimation in Taylor Theorem) in t:...

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