\documentclass[全部作业]{subfiles} \input{mysubpreamble} \begin{document} \setcounter{chapter}{6} \setcounter{section}{3} \section{最小方差无偏估计} \begin{enumerate} \questionandanswerProof[1]{ 设总体概率函数是$p(x;\theta), x_1,x_2, \cdots ,x_n$ 是其样本,$T=T(x_1,x_2, \cdots ,x_n)$是$\theta$的充分统计量,则对$g(\theta)$的任一估计$\hat{g}$,令$\tilde{g}=E(\hat{g}|T)$,证明:$MSE(\tilde{g})\leqslant MSE(\hat{g})$。这说明,在均方误差准则下,人们只需要考虑基于充分统计量的估计。 }{ $$ \begin{aligned} \operatorname{MSE}(\hat{g})&=E((\hat{g} - g(\theta))^{2})= E\left( (\hat{g} - \tilde{g} + \tilde{g} -g(\theta))^{2} \right) \\ &=E(\hat{g}-\tilde{g})^{2} + 2E(\hat{g}-\tilde{g})(\tilde{g} - g(\theta) ) + E(\tilde{g}-g(\theta))^{2} \\ &=E(\hat{g} - \tilde{g})^{2}+2E(\hat{g}-\tilde{g})(\tilde{g}-g(\theta))+\operatorname{MSE}(\tilde{g}) \\ \end{aligned} $$ 其中 $$ E(\hat{g}-\tilde{g})(\tilde{g}-g(\theta))=E(E((\hat{g}-\tilde{g})(\tilde{g}-g(\theta))|T)) $$ 由于$T$是充分统计量,所以$E(\tilde{g}-g(\theta))$与$T$无关,所以 $$ \begin{aligned} E (\hat{g}-\tilde{g})(\tilde{g}-g(\theta))&=E(\tilde{g}-g(\theta)) E(E(\hat{g}-\tilde{g}|T)) \\ &=[E(\tilde{g}) -E(g(\theta))]E(E(\hat{g}-\tilde{g}|T)) = 0 \\ \end{aligned} $$ 所以 $$ \operatorname{MSE}(\hat{g}) = E(\hat{g}-\tilde{g})^{2}+\operatorname{MSE}(\tilde{g})\geqslant \operatorname{MSE}(\tilde{g}) $$ } \questionandanswerProof[3]{ 设$T$是$g(\theta)$的UMVUE,$\hat{g}$是$g(\theta)$的无偏估计,证明:若$\operatorname{Var}(\hat{g})<\infty$,则$\operatorname{Cov}(T,\hat{g})\geqslant 0$。 }{ 由于$T$是$g(\theta)$的UMVUE,所以$E(T)=g(\theta), \operatorname{Var}(T)<\infty$;由于$\hat{g}$是$g(\theta)$的无偏估计,所以$E(\hat{g})=0$。从而$E(T-\hat{g})=E(T)-E(\hat{g})=0$,且$\operatorname{Var}(T-\hat{g})=\operatorname{Var}(T)+\operatorname{Var}(\hat{g})+\operatorname{Cov}(T,\hat{g})<\infty$(应该不存在方差有限但协方差无限的情况吧),所以根据判断准则, $$ 0=\operatorname{Cov}(T,T-\hat{g})=\operatorname{Var}(T)-\operatorname{Cov}(T,\hat{g}) $$ 所以$\operatorname{Cov}(T,\hat{g})=\operatorname{Var}(T)>0$。 } \questionandanswerProof[5]{ 设总体$p(x;\theta)$的费希尔信息量存在,若二阶导数$\displaystyle \frac{\partial ^{2}}{\partial \theta^{2}}p(x;\theta)$对一切的$\theta \in \Theta$存在,证明费希尔信息量 $$ I(\theta)=-E\left( \frac{\partial ^{2}}{\partial \theta^{2}}\ln p(x;\theta) \right) $$ }{ $$ \begin{aligned} -E\left( \frac{\partial ^{2}}{\partial \theta^{2}} \ln p(x;\theta) \right) =&-\int_{-\infty}^{+\infty} \frac{\partial ^{2} \ln p(x;\theta)}{\partial \theta^{2}} p(x;\theta)\mathrm{d}x \\ =&\int_{-\infty}^{+\infty} \left( \frac{\partial \ln p(x;\theta)}{\partial \theta} \right) ^{2} p(x;\theta) \mathrm{d}x \\ =&\int_{-\infty}^{+\infty} \frac{\partial \ln p(x;\theta)}{\partial \theta} \frac{\partial \ln p(x;\theta)}{\partial p(x;\theta)} \frac{\partial p(x;\theta)}{\partial \theta} p(x;\theta) \mathrm{d}x \\ =&\int_{-\infty}^{+\infty} \frac{\partial \ln p(x;\theta)}{\partial \theta} \frac{1}{p(x;\theta)} \frac{\partial p(x;\theta)}{\partial \theta} p(x;\theta) \mathrm{d}x \\ =&\int_{-\infty}^{+\infty} \frac{\partial \ln p(x;\theta)}{\partial \theta} \frac{\partial p(x;\theta)}{\partial \theta} \mathrm{d}x \\ =& E_{x} \left( \frac{\partial \ln p(x;\theta)}{\partial \theta} \right) ^{2} = I(\theta) \\ \end{aligned} $$ } \questionandanswer[6]{ 设总体密度函数为$p(x;\theta)=\theta x^{\theta-1}, 00$, $x_1,x_2, \cdots ,x_n$是样本。 }{} \begin{enumerate} \questionandanswerSolution[]{ 求$g(\theta)=\dfrac{1}{\theta}$的最大似然估计; }{ 对数似然函数为 $$ \ln L(\theta)=\sum_{i=1}^{n} \ln \theta x^{\theta-1}=\sum_{i=1}^{n} \left( \ln \theta+(\theta-1) \ln x_i \right) =n \ln \theta+(\theta-1) \sum_{i=1}^{n} \ln x_i $$ 对$\theta$求导并令其为0, $$ \frac{\partial L(\theta)}{\partial \theta} = \frac{n}{\theta}+\sum_{i=1}^{n} x_i = 0 $$ 则$\theta$的最大似然估计为$\hat{\theta} = \dfrac{n}{\sum_{i=1}^{n} x_i}$,根据最大似然估计的不变性,$g(\theta)=\dfrac{1}{\theta}$的最大似然估计为 $$ \widehat{g(\theta)}=\frac{1}{\hat{\theta}}=\frac{1}{n} \sum_{i=1}^{n} x_i $$ } \questionandanswerSolution[]{ 求$g(\theta)$的有效估计。 }{ 可以猜测上一小题中的 $ \widehat{g(\theta)}=\frac{1}{n} \sum_{i=1}^{n} x_i $ 为有效估计,接下来验证一下。 % $$ % \frac{\theta}{\theta+2}-\left( \frac{\theta}{\theta+1} \right) ^{2} = \frac{\theta}{\theta^{3} + 4 \theta^{2} + 5 \theta + 2} % $$ 可以计算得到总体的方差为$\dfrac{1}{\theta^{2}}$,因此 $g(\hat{\theta})=\bar{x}$的方差为$\dfrac{1}{n \theta^{2}} $。 由于$\ln p(x;\theta) = \ln \theta +(\theta-1)\ln x$, $$ \frac{\partial \ln p(x;\theta)}{\partial \theta}=\frac{1}{\theta}+\ln x, \quad \frac{\partial^{2} \ln p(x;\theta)}{\partial \theta^{2}}=-\frac{1}{\theta^{2}}, \quad I(\theta)=-E\left( \frac{\partial ^{2}\ln p(x;\theta)}{\partial \theta^{2}} \right) =\frac{1}{\theta^{2}} $$ 所以$I(\frac{1}{\theta})=\theta^{2}$,所以 $$ \operatorname{Var}(\widehat{g(\theta)})= \frac{1}{n \theta^{2}}=\frac{1}{I(\frac{1}{\theta})}=\frac{1}{I(g(\theta))} $$ 因此$\widehat{g(\theta)}=\frac{1}{n} \sum_{i=1}^{n} x_i$为$g(\theta)$的有效估计。 } \end{enumerate} \questionandanswerSolution[7]{ 设总体密度函数为$\displaystyle p(x;\theta)=\frac{2\theta}{x^{3}} e^{-\frac{\theta}{x^{2}}},x>0,\theta>0$,求$\theta$的费希尔信息量$I(\theta)$。 }{ $$ \ln p(x;\theta)=\ln 2+\ln \theta-3\ln x -\frac{\theta}{x^{2}} $$ $$ \frac{\partial \ln p(x;\theta)}{\partial \theta}=\frac{1}{\theta} - \frac{1}{x^{2}}, \quad \frac{\partial ^{2}\ln p(x;\theta)}{\partial \theta^{2}} = -\frac{1}{\theta^{2}} $$ 所以 $$ I(\theta)=-E\left( \frac{\partial ^{2}\ln p(x;\theta)}{\partial \theta^{2}} \right) =\frac{1}{\theta^{2}} $$ } \questionandanswerProof[10]{ 设$x_1,x_2, \cdots ,x_n$是来自$\operatorname{Ga}(\alpha,\lambda)$的样本,$\alpha>0$已知,试证明$\dfrac{\bar{x}}{\alpha}$是$g(\lambda)=\dfrac{1}{\lambda}$的有效估计,从而也是UMVUE。 }{ $$ p(x;\lambda) = \frac{\lambda^{\alpha}}{\Gamma(\alpha)} x^{\alpha-1} e^{-\lambda x}, x>0; \quad \ln p(x;\lambda)=\alpha\ln \lambda-\ln \Gamma(\alpha)+(\alpha-1)\ln x-\lambda x $$ $$ \frac{\partial \ln p(x;\lambda)}{\partial \lambda}=\frac{\alpha}{\lambda}-x; \quad \frac{\partial ^{2} \ln p(x;\lambda)}{\partial \lambda^{2}}=-\frac{\alpha}{\lambda^{2}} $$ 所以 $$ I(\lambda)=-E\left( \frac{\partial ^{2}\ln p(x;\lambda)}{\partial \lambda^{2}} \right) =\frac{\alpha}{\lambda^{2}}; \quad \text{C-R下界}=\frac{(g'(\lambda))^{2}}{n I(\lambda)}=\frac{(-\frac{1}{\lambda^{2}})^{2}}{n \frac{\alpha}{\lambda^{2}}} = \frac{1}{\alpha \lambda^{2} n} $$ 由于总体的方差为$\dfrac{\alpha}{\lambda^{2}}$,所以$\bar{x}$的方差为$\dfrac{\alpha}{n \lambda^{2}}$,所以$\dfrac{\bar{x}}{\alpha}$的方差为$\dfrac{1}{n \alpha \lambda^{2}}$,等于C-R下界。 } \end{enumerate} \end{document}