数理统计讲义第二章参考答案2

2.5 设 X 1 , ⋯   , X n X_1,\cdots,X_n X1,,Xn为取自正态总体 ξ = d N ( μ , σ 2 ) \xi\xlongequal {d}N(\mu,\sigma^2) ξd N(μ,σ2)的简单随机样本,求 P μ , σ 2 ( ξ > 1 ) P_{\mu,\sigma^2}(\xi>1) Pμ,σ2(ξ>1)的矩法估计量。
参考答案:

总体 ξ = d N ( μ , σ 2 ) \xi\xlongequal {d}N(\mu,\sigma^2) ξd N(μ,σ2)

总体矩:
{ μ 1 = E ξ = μ μ 2 = E ξ 2 = D ξ + ( E ξ ) 2 = σ 2 + μ 2 \left \{\begin{aligned}\mu_1&=E\xi=\mu\\ \mu_2&=E\xi^2=D\xi+(E\xi)^2=\sigma^2+\mu^2\end{aligned}\right. {μ1μ2=Eξ=μ=Eξ2=Dξ+(Eξ)2=σ2+μ2

样本矩:
{ A 1 = 1 n ∑ i = 1 n X i = X ˉ A 2 = 1 n ∑ i = 1 n X i 2 \left\{\begin{aligned}A_1&=\frac{1}{n}\sum_{i=1}^{n}X_i=\bar{X}\\ A_2&=\frac{1}{n}\sum_{i=1}^{n}X_i^2\end{aligned}\right. A1A2=n1i=1nXi=Xˉ=n1i=1nXi2


{ μ 1 = A 1 μ 2 = A 2 , \left\{\begin{aligned}\mu_1 &=A_1\\ \mu_2&=A_2\end{aligned}\right., {μ1μ2=A1=A2, { μ ^ = X ˉ σ ^ 2 = 1 n ∑ i = 1 n ( X i − X ˉ ) 2 . \left\{\begin{aligned}\widehat{\mu}&=\bar{X} \\ \widehat{\sigma}^2&=\frac{1}{n}\sum_{i=1}^{n}(X_i-\bar{X})^2\end{aligned}\right.. μ σ 2=Xˉ=n1i=1n(XiXˉ)2.

P μ , σ 2 ( ξ > 1 ) = 1 − P μ , σ 2 ( ξ ≤ 1 ) = 1 − Φ ( 1 − μ σ ) P_{\mu,\sigma^2}(\xi>1)=1-P_{\mu,\sigma^2}(\xi\le 1)=1-\Phi(\frac{1-\mu}{\sigma}) Pμ,σ2(ξ>1)=1Pμ,σ2(ξ1)=1Φ(σ1μ)

P ^ μ , σ 2 ( ξ > 1 ) = 1 − Φ ( 1 − μ ^ σ ^ ) = 1 − Φ ( n ( 1 − X ˉ ) ∑ i = 1 n ( X i − X ˉ ) 2 ) \begin{aligned} \widehat{P}_{\mu,\sigma^2}(\xi>1) =& 1-\Phi(\frac{1-\widehat{\mu}}{\widehat{\sigma}}) \\ =& 1-\Phi(\frac{\sqrt{n}(1-\bar{X})}{\sqrt{\sum_{i=1}^{n}(X_i-\bar{X})^2}})\end{aligned} P μ,σ2(ξ>1)==1Φ(σ 1μ )1Φ(i=1n(XiXˉ)2 n (1Xˉ))
所以, P μ , σ 2 ( ξ > 1 ) P_{\mu,\sigma^2}(\xi>1) Pμ,σ2(ξ>1)的矩法估计量为 P ^ μ , σ 2 ( ξ > 1 ) = 1 − Φ ( 1 − μ ^ σ ^ ) = 1 − Φ ( n ( 1 − X ˉ ) ∑ i = 1 n ( X i − X ˉ ) 2 ) \begin{aligned}\widehat{P}_{\mu,\sigma^2}(\xi>1)&=1-\Phi(\frac{1-\widehat{\mu}}{\widehat{\sigma}})\\&=1-\Phi(\frac{\sqrt{n}(1-\bar{X})}{\sqrt{\sum_{i=1}^{n}(X_i-\bar{X})^2}})\end{aligned} P μ,σ2(ξ>1)=1Φ(σ 1μ )=1Φ(i=1n(XiXˉ)2 n (1Xˉ))

注:用样本矩作为总体矩的估计。

2.6 设 X 1 , ⋯   , X n X_1,\cdots ,X_n X1,,Xn为取自具有下列分布或密度(或离散概率分布)的简单随机样本,求未知参数的最大似然估计。

(1) p ( x ; θ ) = ( θ + 1 ) x θ I ( 0 , 1 ) ( x ) , θ > − 1. p(x;\theta)=(\theta+1)x^{\theta}I_{(0,1)}(x),\theta>-1. p(x;θ)=(θ+1)xθI(0,1)(x),θ>1.

参考答案:

总体 X X X的分布密度为 p ( x ; θ ) = ( θ + 1 ) x θ I ( 0 , 1 ) ( x ) , θ > − 1. p(x;\theta)=(\theta+1)x^{\theta}I_{(0,1)}(x),\theta>-1. p(x;θ)=(θ+1)xθI(0,1)(x),θ>1.

似然函数为
L ( θ ) = ∏ i = 1 n ( θ + 1 ) x i θ = ( θ + 1 ) n ( ∏ i = 1 n x i ) θ , 0 < x 1 , x 2 , ⋯   , x n < 1 \begin{aligned}L(\theta)&=\prod_{i=1}^{n}(\theta+1)x_i^{\theta} \\&=(\theta+1)^n(\prod_{i=1}^{n}x_i)^{\theta},\\&0< x_1,x_2,\cdots,x_n < 1 \end{aligned} L(θ)=i=1n(θ+1)xiθ=(θ+1)n(i=1nxi)θ,0<x1,x2,,xn<1
对数似然函数为 l ( θ ) = l n L ( θ ) = n l n ( θ + 1 ) + θ ∑ i = 1 n l n x i , l(\theta)=lnL(\theta)=nln(\theta+1)+\theta\sum_{i=1}^{n}lnx_i, l(θ)=lnL(θ)=nln(θ+1)+θi=1nlnxi, 0 < x 1 , x 2 , ⋯   , x n < 1 0< x_1,x_2,\cdots,x_n < 1 0<x1,x2,,xn<1

d l ( θ ) d θ = n θ + 1 + ∑ i = 1 n l n x i = 0 , \frac{dl(\theta)}{d\theta}=\frac{n}{\theta+1}+\sum_{i=1}^{n}lnx_i=0, dθdl(θ)=θ+1n+i=1nlnxi=0, θ ^ = − 1 − n ∑ i = 1 n l n x i . \widehat{\theta}=-1-\frac{n}{\sum_{i=1}^{n}lnx_i}. θ =1i=1nlnxin.

所以, θ \theta θ的最大似然估计为

θ ^ = − 1 − n ∑ i = 1 n l n x i . \widehat{\theta}=-1-\frac{n}{\sum_{i=1}^{n}lnx_i}. θ =1i=1nlnxin.


(2) p ( x ; θ ) = a θ x a − 1 e − θ x a , θ > 0 , a p(x;\theta)=a\theta x^{a-1}e^{-\theta x^a},\theta>0,a p(x;θ)=aθxa1eθxa,θ>0,a为已知。

参考答案:

总体 X X X的分布密度为 p ( x ; θ ) = a θ x a − 1 e − θ x a , θ > 0 , a p(x;\theta)=a\theta x^{a-1}e^{-\theta x^a},\theta>0,a p(x;θ)=aθxa1eθxa,θ>0,a为已知。

似然函数为
L ( θ ) = ∏ i = 1 n a θ x i a − 1 e − θ x i a = a n θ n ( ∏ i = 1 n x i ) a − 1 e − θ ∑ i = 1 n x i a \begin{aligned}L(\theta)&=\prod_{i=1}^{n}a\theta x_i^{a-1}e^{-\theta x_i^a} \\&=a^n\theta^n(\prod_{i=1}^{n}x_i)^{a-1}e^{-\theta\sum_{i=1}^{n}x_i^a}\end{aligned} L(θ)=i=1naθxia1eθxia=anθn(i=1nxi)a1eθi=1nxia对数似然函数为
l ( θ ) = l n L ( θ ) = n l n a + n l n θ + ( a − 1 ) ∑ i = 1 n l n x i − θ ∑ i = 1 n x i a \begin{aligned}l(\theta)&=lnL(\theta)\\&=nlna+nln\theta\\&+(a-1)\sum_{i=1}^{n}lnx_i-\theta\sum_{i=1}^{n}x_i^a\end{aligned} l(θ)=lnL(θ)=nlna+nlnθ+(a1)i=1nlnxiθi=1nxia d l ( θ ) d θ = n θ − ∑ i = 1 n x i a = 0 , \frac{dl(\theta)}{d\theta}=\frac{n}{\theta}-\sum_{i=1}^{n}x_i^a=0, dθdl(θ)=θni=1nxia=0, θ ^ = n ∑ i = 1 n x i a . \widehat{\theta}=\frac{n}{\sum_{i=1}^{n}x_i^a}. θ =i=1nxian.所以, θ \theta θ的最大似然估计为
θ ^ = n ∑ i = 1 n x i a . \widehat{\theta}=\frac{n}{\sum_{i=1}^{n}x_i^a}. θ =i=1nxian.


(3) Γ ( α , λ ) , α \Gamma(\alpha,\lambda),\alpha Γ(α,λ),α为已知。

参考答案:

总体 X X X的分布密度为
p ( x ) = λ α Γ ( α ) x α − 1 e − λ x I [ 0 , ∞ ) ( x ) p(x)=\frac{\lambda^{\alpha}}{\Gamma(\alpha)}x^{\alpha-1}e^{-\lambda x}I_{[0,\infty)}(x) p(x)=Γ(α)λαxα1eλxI[0,)(x)似然函数为 L ( λ ) = ∏ i = 1 n λ α Γ ( α ) x i α − 1 e − λ x i = λ n α ( Γ ( α ) ) n ∏ i = 1 n x i α − 1 e − λ ∑ i = 1 n x i \begin{aligned}L(\lambda)&=\prod_{i=1}^{n}\frac{\lambda^{\alpha}}{\Gamma(\alpha)}x_i^{\alpha-1}e^{-\lambda x_i}\\&=\frac{\lambda^{n\alpha}}{(\Gamma(\alpha))^n}{\prod_{i=1}^{n}x_i}^{\alpha-1}e^{-\lambda\sum_{i=1}{n}x_i}\end{aligned} L(λ)=i=1nΓ(α)λαxiα1eλxi=(Γ(α))nλnαi=1nxiα1eλi=1nxi对数似然函数为 l ( λ ) = l n L ( λ ) = n α l n λ − n l n Γ ( α ) + ( α − 1 ) ∑ i = 1 n l n x i − λ ∑ i = 1 n x i \begin{aligned}l(\lambda)&=lnL(\lambda)\\&=n\alpha ln\lambda-nln\Gamma(\alpha)\\&+(\alpha-1)\sum_{i=1}^{n}lnx_i-\lambda\sum_{i=1}^{n}x_i\end{aligned} l(λ)=lnL(λ)=nαlnλnlnΓ(α)+(α1)i=1nlnxiλi=1nxi d l ( λ ) d λ = n α λ − ∑ i = 1 n x i = 0 , \frac{dl(\lambda)}{d\lambda}=\frac{n\alpha}{\lambda}-\sum_{i=1}^{n}x_i=0, dλdl(λ)=λnαi=1nxi=0, λ ^ = n α ∑ i = 1 n x i = α x ˉ . \widehat{\lambda}=\frac{n\alpha}{\sum_{i=1}^{n}x_i}=\frac{\alpha}{\bar{x}}. λ =i=1nxinα=xˉα.所以, λ \lambda λ的最大似然估计为 λ ^ = n α ∑ i = 1 n x i = α x ˉ . \widehat{\lambda}=\frac{n\alpha}{\sum_{i=1}^{n}x_i}=\frac{\alpha}{\bar{x}}. λ =i=1nxinα=xˉα.


(4) p ( x ; σ ) = 1 2 σ e − ∣ x ∣ σ , σ > 0 p(x;\sigma)=\frac{1}{2\sigma}e^{-\frac{|x|}{\sigma}},\sigma>0 p(x;σ)=2σ1eσx,σ>0

参考答案:

总体 X X X的分布密度为
p ( x ; σ ) = 1 2 σ e − ∣ x ∣ σ , σ > 0 p(x;\sigma)=\frac{1}{2\sigma}e^{-\frac{|x|}{\sigma}},\sigma>0 p(x;σ)=2σ1eσx,σ>0似然函数为 L ( σ ) = ∏ i = 1 n 1 2 σ e − ∣ x i ∣ σ = 1 2 n σ n e − ∑ i = 1 n ∣ x i ∣ σ L(\sigma)=\prod_{i=1}^{n}\frac{1}{2\sigma}e^{-\frac{|x_i|}{\sigma}}=\frac{1}{2^n\sigma^n}e^{-\frac{\sum_{i=1}^{n}|x_i|}{\sigma}} L(σ)=i=1n2σ1eσxi=2nσn1eσi=1nxi对数似然函数为
l ( σ ) = l n L ( σ ) = − n l n 2 − n l n σ − ∑ i = 1 n ∣ x i ∣ σ . \begin{aligned}l(\sigma)&=lnL(\sigma)\\&=-nln2-nln\sigma-\frac{\sum_{i=1}^{n}|x_i|}{\sigma}.\end{aligned} l(σ)=lnL(σ)=nln2nlnσσi=1nxi. d l ( σ ) d σ = − n σ + ∑ i = 1 n ∣ x i ∣ σ 2 = 0 , \frac{dl(\sigma)}{d\sigma}=-\frac{n}{\sigma}+\frac{\sum_{i=1}^{n}|x_i|}{\sigma^2}=0, dσdl(σ)=σn+σ2i=1nxi=0, σ ^ = ∑ i = 1 n ∣ x i ∣ n . \widehat{\sigma}=\frac{\sum_{i=1}^{n}|{x_i}|}{n}. σ =ni=1nxi.所以, σ \sigma σ的最大似然估计为 σ ^ = ∑ i = 1 n ∣ x i ∣ n . \widehat{\sigma}=\frac{\sum_{i=1}^{n}|{x_i}|}{n}. σ =ni=1nxi.


(5) p ( x ; θ ) = m x m − 1 θ e x p [ − x m θ ] , p(x;\theta)=\frac{mx^{m-1}}{\theta}exp[-\frac{x^m}{\theta} ], p(x;θ)=θmxm1exp[θxm], θ > 0 , m \theta>0,m θ>0,m为已知。

参考答案:

总体 X X X的分布密度为 p ( x ; θ ) = m x m − 1 θ e x p [ − x m θ ] , θ > 0 , m p(x;\theta)=\frac{mx^{m-1}}{\theta}exp[-\frac{x^m}{\theta} ],\theta>0,m p(x;θ)=θmxm1exp[θxm],θ>0,m为已知。

似然函数为
L ( θ ) = ∏ i = 1 n m x i m − 1 θ e − x i m θ = m n θ n ( ∏ i = 1 n x i ) m − 1 e − ∑ i = 1 n x i m θ . \begin{aligned}L(\theta)&=\prod_{i=1}^{n}\frac{mx_i^{m-1}}{\theta}e^{-\frac{x_i^m}{\theta} }\\&=\frac{m^n}{\theta^n}(\prod_{i=1}^{n}x_i)^{m-1}e^{-\frac{\sum_{i=1}^{n}x_i^m}{\theta} }.\end{aligned} L(θ)=i=1nθmxim1eθxim=θnmn(i=1nxi)m1eθi=1nxim.对数似然函数为 l ( θ ) = l n L ( θ ) = n l n m − n l n θ + ( m − 1 ) ∑ i = 1 n l n x i − ∑ i = 1 n x i m θ . \begin{aligned}l(\theta)&=lnL(\theta)\\&=nlnm-nln\theta\\&+(m-1)\sum_{i=1}^{n}lnx_i-\frac{\sum_{i=1}^{n}x_i^m}{\theta} .\end{aligned} l(θ)=lnL(θ)=nlnmnlnθ+(m1)i=1nlnxiθi=1nxim. d l ( θ ) d θ = − n θ + ∑ i = 1 n x i m θ 2 = 0 , \frac{dl(\theta)}{d\theta}=-\frac{n}{\theta}+\frac{\sum_{i=1}^{n}x_i^m}{\theta^2} =0, dθdl(θ)=θn+θ2i=1nxim=0, θ ^ = ∑ i = 1 n x i m n . \widehat{\theta}=\frac{\sum_{i=1}^{n}{x_i}^m}{n}. θ =ni=1nxim.所以, θ \theta θ的最大似然估计为
θ ^ = ∑ i = 1 n x i m n . \widehat{\theta}=\frac{\sum_{i=1}^{n}{x_i}^m}{n}. θ =ni=1nxim.


(6) P ( ξ = k ) = p ( 1 − p ) k − 1 , P(\xi=k)=p(1-p)^{k-1}, P(ξ=k)=p(1p)k1, k = 1 , 2 , ⋯   , p ∈ ( 0 , 1 ) . k=1,2,\cdots,p\in(0,1). k=1,2,,p(0,1).

参考答案:

总体 X X X的分布律为 P ( X = k ) = p ( 1 − p ) k − 1 , P(X=k)=p(1-p)^{k-1}, P(X=k)=p(1p)k1, k = 1 , 2 , ⋯   , p ∈ ( 0 , 1 ) . k=1,2,\cdots,p\in(0,1). k=1,2,,p(0,1).

似然函数为
L ( p ) = ∏ i = 1 n p ( 1 − p ) x i − 1 = p n ( 1 − p ) ∑ i = 1 n x i − n , x i = 1 , 2 , ⋯   , i = 1 , 2 , ⋯   . \begin{aligned}L(p)&=\prod_{i=1}^{n}p(1-p)^{x_i-1}\\&=p^n(1-p)^{\sum_{i=1}{n}x_i-n},\\& x_i=1,2,\cdots,i=1,2,\cdots.\end{aligned} L(p)=i=1np(1p)xi1=pn(1p)i=1nxin,xi=1,2,,i=1,2,.
对数似然函数为
l ( p ) = l n L ( p ) = n l n p + ( ∑ i = 1 n x i − n ) l n ( 1 − p ) \begin{aligned}l(p)&=lnL(p)\\&=nlnp+(\sum_{i=1}{n}x_i-n)ln(1-p)\end{aligned} l(p)=lnL(p)=nlnp+(i=1nxin)ln(1p) d l ( p ) d p = n p − ∑ i = 1 n x i − n 1 − p = 0 , \frac{dl(p)}{dp}=\frac{n}{p}-\frac{\sum_{i=1}^{n}x_i-n}{1-p} =0, dpdl(p)=pn1pi=1nxin=0, p = n ∑ i = 1 n x i = 1 x ˉ . p=\frac{n}{\sum_{i=1}^{n}x_i}=\frac{1}{\bar{x}}. p=i=1nxin=xˉ1.所以, p p p的最大似然估计为 p = n ∑ i = 1 n x i = 1 x ˉ . p=\frac{n}{\sum_{i=1}^{n}x_i}=\frac{1}{\bar{x}}. p=i=1nxin=xˉ1.

(7) p ( ξ = k ) = ( k − 1 r − 1 ) p r ( 1 − p ) k − r , p(\xi=k)=\begin{pmatrix}k-1 \\ r-1\end{pmatrix}p^r(1-p)^{k-r}, p(ξ=k)=(k1r1)pr(1p)kr, k = r , r + 1 , ⋯   , p ∈ ( 0 , 1 ) , r k=r,r+1,\cdots,p\in(0,1),r k=r,r+1,,p(0,1),r为已知。

参考答案:

总体 X X X的分布律为 p ( ξ = X ) = ( X − 1 r − 1 ) p r ( 1 − p ) X − r , p(\xi=X)=\begin{pmatrix}X-1 \\ r-1\end{pmatrix}p^r(1-p)^{X-r}, p(ξ=X)=(X1r1)pr(1p)Xr, X = r , r + 1 , ⋯   , p ∈ ( 0 , 1 ) , r X=r,r+1,\cdots,p\in(0,1),r X=r,r+1,,p(0,1),r为已知。

似然函数为
L ( p ) = ∏ i = 1 n ( x i − 1 r − 1 ) p r ( 1 − p ) x i − r = ∏ i = 1 n ( x i − 1 r − 1 ) p n r ( 1 − p ) ∑ i = 1 n x i − n r \begin{aligned}L(p)&=\prod_{i=1}^{n} \begin{pmatrix}x_i-1 \\ r-1\end{pmatrix}p^r(1-p)^{x_i-r}\\&=\prod_{i=1}^{n} \begin{pmatrix}x_i-1 \\ r-1\end{pmatrix} p^{nr}(1-p)^{\sum_{i=1}{n}x_i-nr}\end{aligned} L(p)=i=1n(xi1r1)pr(1p)xir=i=1n(xi1r1)pnr(1p)i=1nxinr

对数似然函数为
l ( p ) = l n L ( p ) = ∑ i = 1 n l n ( x i − 1 r − 1 ) + n r l n p + ( ∑ i = 1 n x i − n r ) l n ( 1 − p ) \begin{aligned}l(p)&=lnL(p)\\&=\sum_{i=1}^{n}ln\begin{pmatrix}x_i-1 \\ r-1\end{pmatrix} +nrlnp\\&+(\sum_{i=1}{n}x_i-nr)ln(1-p)\end{aligned} l(p)=lnL(p)=i=1nln(xi1r1)+nrlnp+(i=1nxinr)ln(1p)

d l ( p ) d p = n r p − ∑ i = 1 n x i − n r 1 − p = 0 , \frac{dl(p)}{dp}=\frac{nr}{p}-\frac{\sum_{i=1}^{n}x_i-nr}{1-p} =0, dpdl(p)=pnr1pi=1nxinr=0, p = n r ∑ i = 1 n x i = r x ˉ . p=\frac{nr}{\sum_{i=1}^{n}x_i}=\frac{r}{\bar{x}}. p=i=1nxinr=xˉr.

所以, p p p的最大似然估计为 p = n r ∑ i = 1 n x i = r x ˉ . p=\frac{nr}{\sum_{i=1}^{n}x_i}=\frac{r}{\bar{x}}. p=i=1nxinr=xˉr.


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