Στατιστική Ι Ασκήσεις- Πετρόπουλος
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Transcript of Στατιστική Ι Ασκήσεις- Πετρόπουλος
Tm ma Majhmatik¸n, Panepist mio Patr¸n 1M�jhma: Statistik Sumperasmatolog�a IDid�skwn: K. Petrìpoulo Full�dio II(AOED ektimhtè - Eparke� kai Pl rei σ.σ.)'Askhsh 1. An X˜
= (X1,X2, . . . ,Xn), n ≥ 2 e�nai èna tuqa�o de�gma apì thn katanom U(θ, 2θ), nabreje� h el�qisth epark σ.σ. kai na deiqje� ìti o ektimht T (X˜) =
2
3X̄ e�nai amerìlhpto gia thn θ all�mh apodektì .'Askhsh 2. To tuqa�o de�gma (X1,X2) proèrqetai apì katanom me p.p.
f1(x; θ) =
e−θ , x = 0θe−θ , x = 1
1− e−θ − θe−θ , x = 20 , diaforetik�.Na deiqte� ìti h T = X1 +X2 den e�nai epark gia thn ekt�mhsh tou θ.'Askhsh 3. E�n X ∼ N(0, 2θ2), na deiqje� ìti T (X) = eX e�nai AOED ektimht tou eθ
2 .(Upìdeixh: Qrhsimopoi ste th ropogenn tria th Kanonik Katanom mX(t) = E(etX) = eµt+1
2σ2t2 ,
t ∈ R.)'Askhsh 4. JewroÔme thn t.m. X ∼ P(θ), θ > 0. Na deiqje� ìti h σ. σ. T (X) = (−1)X e�nai AOED giathn g(θ) = e−2θ. E�nai autì o ektimht apodektì ?'Askhsh 5. An X˜
= (X1,X2, . . . ,Xn), n ≥ 2 e�nai èna tuqa�o de�gma apì thn katanom B(1, θ), na breje�o AOED th g(θ) = Pθ(X1 > X2).'Askhsh 6. An X˜
= (X1,X2, . . . ,Xn), n ≥ 2 e�nai èna tuqa�o de�gma apì thn katanom Poisson P(θ+1),me �gnwsto θ > −1. Bre�te AOED ektimht twn θ, θ + 1 kai θ2.'Askhsh 7. An X e�nai mia parat rhsh me katanom f(x; θ) =
1
2, x = 0, 1 θ = 0
2− x
3, x = 0, 1 θ = 1,na deiqje� ìti o ektimht T (X) = 3− 6X e�nai o AOED ektimht tou θ.'Askhsh 8. 'Estw oi parathr sei X1,X2, . . . ,Xn e�nai anex�rthte me k�je Xk ∼ N (µ + tk, σ
2), ìpoutk ∈ R e�nai gnwstè stajerè , en¸ µ ∈ R kai σ > 0 e�nai �gnwsta. Na brejoÔn AOED ektimhtè twn µkai σ2.
Tm ma Majhmatik¸n, Panepist mio Patr¸n 2'Askhsh 9. An X˜
= (X1,X2, . . . ,Xn), n ≥ 2 e�nai èna tuqa�o de�gma apì thn omoiìmorfh katanom U(−θ, 0), me �gnwsto θ > 0. Bre�te AOED ektimht twn θ kai θk, k > 0.'Askhsh 10. 'Estw X mia parat rhsh apì thn U(−θ, θ), θ > 0. Na deiqje� ìti h X e�nai epark all�ìqi pl rh . Na deiqje�, katìpin ìti h |X| e�nai epark kai pl rh kai na breje� o AOED ektimht tou θ.'Askhsh 11. D�netai t.d. X
˜= (X1,X2, . . . ,Xn), n ≥ 2 apì thn katanom f1(x; θ) =
1
θe−
1
θ(x−1) , x > 1 , θ > 0.1. Na breje� o AOED ektimht tou θ.2. Na breje� o kalÔtero ektimht tou θ sthn kl�sh twn ektimht¸n C = {Tc = c
∑ni=1(Xi− 1), c > 0}.3. E�nai o AOED tou θ apodektì me krit rio to MTS?'Askhsh 12. An X
˜= (X1,X2, . . . ,Xn), n ≥ 2 e�nai èna tuqa�o de�gma apì thn katanom f1(x; θ) = θxθ−1,
0 < x < 1, θ > 0, na brejoÔn oi AOED ektimhtè twn θ kai 1/θ.'Askhsh 13. D�netai tuqa�o de�gma X˜
= (X1,X2, . . . ,Xn), n ≥ 2 apì katanom me puknìthtaf1(x; θ) =
x2
9θ3, 0 < x 6 3θ , θ > 0.1. Na deiqje� ìti h σ. σ. T (X
˜) = X(n) = max{X1,X2, . . . ,Xn} e�nai epark .2. Na breje� o AOED ektimht tou θ.'Askhsh 14. 'Estw X1,X2, . . . ,Xn e�nai èna tuqa�o de�gma apì thn Poisson katanom me �gnwsth par�-metro θ > 0.1. Na upologisje� h stajer� c, ètsi ¸ste ∀a ∈ R, h statistik sun�rthsh
T (X˜) = ac
n∑
i=1
(Xi − X̄)2 + (1− a)X̄na e�nai amerìlhpto ektimht tou θ.2. Na apodeiqje� ìti, E(S2|X̄) = X̄ ,ìpou X̄ =1
n
n∑
i=1
Xi e�nai o deigmatikì mèso kai S2 =1
n− 1
n∑
i=1
(Xi − X̄)2 e�nai h deigmatik diaspor�.'Askhsh 15. 'Estw de�gma X˜
= (X1,X2, . . . ,Xn−1,Xn), apoteloÔmeno apì n ≥ 2 anex�rthte parath-r sei , ìpou oi X1,X2, . . . ,Xn−1), proèrqontai apì katanom me p.p.θ3
2x2 e−θx , x > 0 , θ > 0kai h Xn proèrqetai apì katanom me puknìthta θ e−θx, x > 0, θ > 0.1. Na breje� o AOED ektimht tou θ.2. Jewr¸nta ìti 0 < I(θ) < ∞ na de�xete ìti o AOED den e�nai apodotikì .
Tm ma Majhmatik¸n, Panepist mio Patr¸n 1M�jhma: Statistik Sumperasmatolog�a IDid�skwn: K. Petrìpoulo Full�dio III(Ektimhtè Mègisth Pijanof�neia - Ektimhtè me thnMèjodo twn Rop¸n)'Askhsh 1. An X˜
= (X1, X2, . . . , Xn), n ≥ 2 e�nai èna tuqa�o de�gma apì thn omoiìmorfhkatanom U [−θ, 0], me �gnwsto θ > 0.1. Na breje� o EMP tou θ.2. E�nai autì sunep ektimht gia to θ?'Askhsh 2. An X˜
= (X1, X2, . . . , Xn), n ≥ 2 e�nai èna tuqa�o de�gma apì thn Inverse
Gaussian IG(µ, λ), me �gnwsta µ > 0 kai λ > 0.1. Na brejoÔn oi E.M.P. twn λ kai µ.2. Na brejoÔn oi E.M.R. twn λ kai µ.Parat rhsh: X ∼ IG(µ, λ), fX(x) = (
λ
2πx3
)
1/2
exp
{
−λ(x− µ)2
2µ2x
},EX = µ, V arX =
µ3
λ.'Askhsh 3. An X
˜= (X1, X2, . . . , Xn), n ≥ 2 e�nai èna tuqa�o de�gma apì thn omoiìmorfhkatanom U [−3θ, 3θ], me �gnwsto θ > 0.1. Na breje� o EMP tou θ2.2. Na breje� o EMR gia to θ.'Askhsh 4. 'EstwX1, X2, . . . , Xn e�nai èna tuqa�o de�gma apì thn katanom me p.p. f1(x; θ) =
3x2
θ3, 0 6 x 6 θ, me �gnwsto θ > 0.1. Na breje� o Ektimht Mègisth Pijanof�neia tou θ2.2. Na deiqje� ìti o Ektimht Mejìdou Rop¸n tou θ e�nai sunep ektimht .
Tm ma Majhmatik¸n, Panepist mio Patr¸n 2'Askhsh 5. An X˜
= (X1, X2, . . . , Xn), n ≥ 2 e�nai èna tuqa�o de�gma apì thn omoiìmorfhkatanom U [−θ/2, 4θ], me �gnwsto θ > 0.1. Na breje� o EMP tou θ.2. Na breje� o EMR gia to θ2.'Askhsh 6. D�netai de�gma X˜
= (X1, X2) me anex�rthte parathr sei kai katanomè X1 ∼
U [0, θ] kai X2 ∼ U [0, 2θ], θ > 0 kai �gnwsto. Na breje� o EMP tou θ, θ̂, kai na apodeiqje� ìtie�nai mh apodektì , me krit rio to MTS, jewr¸nta thn kl�sh twn ektimht¸n C = {Tc|Tc =
cθ̂ : c > 0}.'Askhsh 7. D�netai tuqa�o de�gma X˜
= (X1, X2, . . . , Xn), ìpou k�je Xi, i = 1, 2, . . . , n èqeikatanom me p.p. f1(x; θ) = θxθ−1, 0 < x < 1 me �gnwsto θ > 0.1. Na breje� o E.M.P. tou θ2, e�nai autì sunep ektimht gia to θ2?2. Poia e�nai h asumptwtik katanom tou EMP tou θ?3. Na breje� o E.M.R. tou θ.'Askhsh 8. 'Estw de�gma X˜
= (X1, X2, . . . , Xn−1, Xn) apoteloÔmeno apì n > 2 anex�rthte parathr sei , ìpou oi X1, X2, . . . , Xn−1) proèrqontai apì katanom me p.p.θ3
2x2 e−θx , x > 0 , θ > 0 ,kai h Xn proèrqetai apì katanom me p.p. θ e−θx, x > 0, θ > 0.1. Na breje� o EMP twn θ kai θ2.2. Na breje� o EMR tou θ. Exet�ste an autì e�nai sunep ektimht gia to θ.'Askhsh 9. JewroÔme anex�rthte t.m. X1, X2, X3, ìpou k�je Xi ∼ P(θ/i), i = 1, 2, 3. Nabreje� E.M.P. gia thn parametrik sun�rthsh g(θ) = P (X1 > 1).'Askhsh 10. D�netai de�gma X
˜= (X1, X2), ìpou oi X1, X2 e�nai anex�rthte t.m. mekatanomè , ant�stoiqa N (0, 1/θ) kai N (0, 1/(2θ)), θ > 0. Na breje� o E.M.P. tou 1
θkai naupologiste� to MTS tou.
Tm ma Majhmatik¸n, Panepist mio Patr¸n 1M�jhma: Statistik Sumperasmatolog�a IDid�skwn: K. Petrìpoulo Full�dio IV(Ektimhtè Bayes kai minimax)'Askhsh 1. 'EstwX1, X2, . . . , Xn e�nai anex�rthte t.m. apì thn kanonik katanom N (θ/ti, 1),me �gnwsto θ ∈ R kai gnwst� ti ∈ R, i = 1, 2, . . . , n. An h ek twn protèrwn katano-m π(θ) ∼ N (0, 1), na brejoÔn ektimhtè Bayes twn g1(θ) = θ kai g2(θ) = θ2 w pro thsun�rthsh zhm�a L(t; θ) = (t− g(θ))2.'Askhsh 2. D�netai tuqa�o de�gma X˜
= (X1, X2, . . . , Xn), ìpou k�je Xi, i = 1, 2, . . . , n èqeikatanom me p.p. f1(x; θ) = θxθ−1, 0 < x < 1 me �gnwsto θ > 0. Na breje� ektimht Bayesgia to θ, an π(θ) ∼ G(a, b) kai L(t; θ) = (t− g(θ))2.'Askhsh 3. 'EstwX1, X2, . . . , Xn e�nai èna tuqa�o de�gma apì thn katanom me p.p. f1(x; θ) =2x
θ2, 0 < x < θ, me �gnwsto θ > 0. Na breje� ektimht Bayes gia to θ, an π(θ) ∼ U(0, 1) kai
L(t; θ) = θ2(t− g(θ))2.'Askhsh 4. JewroÔme thn t.m. X ∼ B(k, θ) me �gnwsto θ > 0 kai ek twn protèrwnkatanom π(θ) ∼ Beta(a, b), a, b > 0.1. Na brejoÔn ektimhtè Bayes twn g1(θ) = θ kai g2(θ) = θ(1− θ) w pro th sun�rthshzhm�a L(t; θ) =(t− g(θ))2
θ(1− θ)2. Na breje� ektimht minimax gia thn g1(θ).'Askhsh 5. D�netai de�gma X˜
= (X1, X2, X3), apoteloÔmeno apì trei anex�rthte para-thr sei X1, X2 kai X3 pou proèrqontai apì G�mma katanomè G(a1, 1/θ), G(a2, 1/θ) kaiG(a3, 1/θ) ant�stoiqa me θ > 0, ìpou a1, a2, a3 > 0 gnwstè stajerè .1. An h ek twn protèrwn katanom tou θ e�nai h G(4, 1), na breje� kai na anagnwriste� hek twn ustèrwn katanom tou θ.2. Se aut n thn per�ptwsh na breje� o ektimht Bayes tou 1/θ2, ìtan h sun�rthsh zhm�a e�nai h L(t, θ) = θ4(t− 1/θ2)2.
Tm ma Majhmatik¸n, Panepist mio Patr¸n 2'Askhsh 6. 'EstwX1, X2, . . . , Xn e�nai èna tuqa�o de�gma apì thn katanom me p.p. f1(x; θ) =θ e−θ(x−1), x > 1, me �gnwsto θ > 0.1. An h ek twn protèrwn katanom tou θ e�nai h π(θ) = e−θ, na breje� kai na anagnwriste�h ek twn ustèrwn katanom tou θ.2. Na upologiste� o ektimht Bayes tou θ2, ìtan h sun�rthsh zhm�a e�nai h L(t, θ) =
(t− θ2)2
θ2.'Askhsh 7. D�netai de�gma X
˜= (X1, X2, . . . , Xn), ìpou k�je Xi ∼ P(iθ), θ > 0.1. An h ek twn protèrwn katanom tou θ e�nai h G(a, β), na breje� kai na anagnwriste� hek twn ustèrwn katanom tou θ.2. Se aut n thn per�ptwsh na breje� o ektimht Bayes twn θ, θ2, ìtan h sun�rthsh zhm�a e�nai h L(t, θ) = (t− g(θ))2/θ.'Askhsh 8. 'Estw X1, X2 anex�rthte t.m. ìpou X1 ∼ N (0, θ) kai X2 ∼ N (0, 2θ)1. Bre�te AOED ektimht tou θ.2. De�xte ìti o ektimht 1
3(X1 +X2)
2 den e�nai ektimht minimax tou θ.
Tm ma Majhmatik¸n, Panepist mio Patr¸n 1M�jhma: Statistik Sumperasmatolog�a IDid�skwn: K. Petrìpoulo Full�dio V(Diast mata EmpistosÔnh )'Askhsh 1. D�netai tuqa�o de�gma X˜
= (X1, X2), ìpou X1 kai X2 e�nai anex�rthte stati-stikè sunart sei me katanomè N (0, θ2) kai N (0, θ2/4) ant�stoiqa.1. Na deiqje� ìti h statistik sun�rthsh T =X2
1+ 4X2
2
θ2e�nai posìthta odhgì .2. Na kataskeuastoÔn D.E. �swn our¸n, me suntelest empistosÔnh 1− a, gia ta θ2 kai
θ.'Askhsh 2. 'Estw X˜
= (X1, X2, . . . , Xn) e�nai èna tuqa�o de�gma apì thn U(−θ, 0), θ > 0kai �gnwsto. Na kataskeuaste� D.E. �swn our¸n, me suntelest empistosÔnh 1− a, gia toθ.'Askhsh 3. D�netai tuqa�o de�gma X
˜= (X1, X2, . . . , Xn) apì thn katanom me puknìthtapijanìthta
f(x; θ) = θe−θx , x > 0, θ > 0.1. Na deiqje� ìti h statistik sun�rthsh T = 2θ
n∑
i=1
Xi e�nai posìthta odhgì .2. Na kataskeuaste� D.E. �swn our¸n, me suntelest empistosÔnh 100(1− a)%, gia thng(θ) = Pθ(X1 > t), ìpou t > 0 e�nai gnwst stajer�.3. Na kataskeuaste� A.F. empistosÔnh me me suntelest empistosÔnh 100(1 − a)% giato 1
θ.'Askhsh 4. D�netai tuqa�o de�gma X
˜= (X1, X2, . . . , Xn) ∼ E(θ2), me �gnwsto θ > 0. Naupologisje� h stajer� c > 0, ètsi ¸ste to di�sthma (0, c√X1), na e�nai di�sthma empistosÔnh gia to θ me suntelest empistosÔnh β, 0 < β < 1.
Tm ma Majhmatik¸n, Panepist mio Patr¸n 2'Askhsh 5. D�netai tuqa�o de�gma X˜
= (X1, X2, . . . , Xn) ∼ P(θ), me �gnwsto θ > 0.1. Na kataskeuasje� Asumptwtikì D.E. gia to θ, me σ.e. 1− a.2. Na kataskeuasjoÔn Asumptwtik� A.F. kai K.F. gia to θ me σ.e. 1− a.'Askhsh 6. D�netai tuqa�o de�gma X˜
= (X1, X2, . . . , Xn), apì katanom me puknìthta pija-nìthta f1(x; θ) = θ xθ−1, 0 < x < 1 me �gnwsto θ > 0.1. Na deiqje� ìti h σ.σ. T = −2θ
n∑
i=1
lnXi e�nai posìthta odhgì .2. Na kataskeuasje� D.E. �swn our¸n gia to θ me σ.e. 1− a.