Processing math: 100%

Exponential Distribution

Continuous Distribution.
X~Exp (\lambda) : the time between events of a Poisson Process with rate \lambda
 


Example) about MLE, Pivot and N-P Lemma (Reference: University of Toronto STA355, Final 2013 Q1)
Suppose that X_{1}, X_{2},...X_{n} are independent exponential random variables with density f(x;\lambda)=\lambda\cdot\exp(-\lambda\cdot x) for x \geq 0, \lambda > 0 
a) Find the MLE of \lambda, and find the limiting distribution of \sqrt{n}(\hat{\lambda_{n}}-\lambda)?
b) A pivot for \lambda is 2\lambda \sum_{i=1}^{n}X_{i}\sim \chi^2_{2n}. Show how you can use this pivot to construct a CI for \lambda
c) H_{0}: \lambda =1 vs. H_{1}: \lambda > 1 Suing test statistic T=2\sum_{i=1}^{n}X_{i}.
  For an alpha level test, for what values of T would reject H_{0}?
Solution??!!   

No comments:

Post a Comment