Exercise3.2 1. Let Y be acontinuousrandomvariablewithacdf F(y). Definearandomvariable Z = F(Y). Showthat Z U (0,1) for
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Exercise3.2 1. Let Y be acontinuousrandomvariablewithacdf F(y). Definearandomvariable Z = F(Y).
Showthat Z ∼ U (0,1) for any F(·).
2. Let Y1, ...,Yn be arandomsamplefromadistributionwithacdf Fθ (y), where θ is anunknown parameter.Showthat Ψ(Y;θ) = −Σni
=1 lnFθ (Yi) ∼ 1 2 χ2 2n and, therefore,isapivot.
(Hint: usingtheresultsofthepreviousparagraph,findfirstthedistributionof −lnFθ (Yi), relate it tothe χ2-distribution,andusethepropertiesofthelatter.)
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Related Book For
Statistical Theory A Concise Introduction Texts In Statistical Science
ISBN: 9781032007458
2nd Edition
Authors: Felix Abramovich, Ya'acov Ritov
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