【学习笔记】数理统计习题七

Q1: Let $X_1,\dots ,X_n$ be i.i.d. sample of $X\sim N({\mu }_1,{\sigma }^2)$, and $Y_1,\dots ,Y_m$ be i.i.d. sample of $Y\sim N({\mu }_2,{\sigma }^2)$, where $X_i$s and $Y_j$s are independent, ${\mu }_1,{\mu }_2\in \mathbb{R}$ and $\sigma >0$ are unknown parameters. Denote $S_X^2=\frac{1}{n}{\sum }_{i=1}^n(X_i-\bar{X}{)}^2$ and $S_Y^2=\frac{1}{m}{\sum }_{i=1}^m(Y_i-\bar{Y}{)}^2$. Let $S_w=\sqrt{(n{S}_X^2+m{S}_Y^2)/(n+m-2)}$

(a) Prove that $S_w^2$ is an unbiased estimator for ${\sigma }^2$

解： 注意到$E[n{S}_X^2]=(n-1){\sigma }^2$和$E[m{S}_Y^2]=(m-1){\sigma }^2$因此$$E[S_{\omega }^2]=[(n-1){\sigma }^2+(m-1){\sigma }^2]/(n+m-2)={\sigma }^2$$从而$S_w^2$是${\sigma }^2$的无偏估计

(b) Prove that

$$T_{a,b}:=S_w\sqrt{\frac{a^2}{n}+\frac{}{m}}$$