sdtinalton 23.
34
Stas see we say that the statistic
this cas
converges stochastically to 0'as
Examplel
consishent
is
estfmator pyoblems.
mple mean is aa consistent estimator of the population mean
The
sample mean
Solution:
Let X1,2 , be a random sample from a population whose
unknownmnean is
F-AtX2t.
n
By Chebychev's inequality,
P-4s)sE(X-
(tie.) P - s e s
FimpX-)=0
n
estimator of .
.X is a consistent
Example 2 estimator ofthe population
consistent
variance is a
Show that the sample
variance 2.
Solution:
By Chebychev's inequality
E(s2-2 .(0)
P-o<)s*
E(2)2-202E(s2)+ o
E(2-2)2 =
distribution of s2
It is known from the sampling
ElG) E )
23.35
Mathematical Stat
E(2-2)2
ptogg uv -1-2 +2n+r2
n2
lim
n>o
E-)-0
Therefore from (1), lim p(\s2 - o2|>e) = 0
i Hence 2 is a consistent estimator of o2,
Example 3
ns
Showthat is a consistent
estimator of g2.
Solution: lo 01mes atjas
jilatu
2no2
n-1
n - 1 ) 2Elo4)-2ng? E ) + o
n
n-1
On-1 o2no (-1)
1 h
AstimatioN 23.36
-2+1
AA
im Var -o1-1)=0 -(a . (1)
By chebychev's inequality,
ns
Var
n
lim P e using (1)
n n-1
is a consistent estimator of o2
Note:
ns also a consistent estimator of o2
is an unbiased estimator of a and
n-1
Theorem:
then 6, is a consistent estimator
If E(e )->0 and Var(0,)>0 asn o ,
of .
Proof: By Chebychev'sinequality, nb
Pp.-zie.)»tFaOJ|
1 or any n,
23.37
choose =kVar
MathematicalsStatis
ThenP , -E(©,)}<e]>l- . (1)
le--(e,-E(0.))+E(0,)-
so,-B(.)+|(0,)-4
Since E()->0as n o given e2>0 there exists positivenumber Ne
Nsucht
EO,)-<e ifn> N -b-1 -
: 10,-6<0, -E(O,)}+ E if n>N everiavdede
va
From(1) P(2, -0<e +s)>1Pare).
Further since Var(0,)>0 when n-00
Var(0,) <E; when n> N
PO,-0<(G+5)>1-
choosing e +=6=n
to otesnoi we get Pn6|
KE)17 sasidnu n ei
limP,-0=
n-o A 2
lim pp,-e=
n0
G, 1S a Consistent estmator ofAR
2olagdori 00
s2=
the
sample
variance (X-X is aconsistent estimator
Showthat
th
populationv a variance 2 where (X1,X2, X)is arandom sample from
lation
m a l populaton N ( o , 2 )
).
alntion
,2 9
We knowthat, E(r2)=
bis
Var()4
n-1
E(s)o and Var()>0forn.
consistent estimator of 2.
2 is a
Hence by the (
Example5 of the population
estimator
median is a consistent
Show that the sample
normal population.
mean of a
Solution:
normal population
random sample of size n from
a
is a
If (X,X2,-X) median is formed tothe
function of the sample
for large n, the density
proportionalto-2n.-0
ordinate equal to v2no
median
where S is the population
Var(X)= T
E(X)=0 and 2nT
Var Oasn-0
populationmean.
.X is consistent estimator ofthe
23:39 Mathematie
Example 6
If X,2 dn are random observations on a Bernoull
ityvariable
1-P. Show
y
and the value 0 with probability 1-p, sh
value 1 with probability p
p(l-p)
is a consistent estimator of
Solution:
AA2,X, are independent and
identically istributet Bemóu
distributet a
variables with parameter n and p.
..+X, is a Bermoulli variable with pDar
Then T-X+2* amete
n and p.
E(7)=np and Var(T)=rpg
F.
ET)E
ECX)np=p
Var(X)=Va toHoiotis
Var(T)
Since E(X)>p and VarX0 as->o, isa consistent estimatorof p.
Also EX -Fo-
n
X(1-X) being a polynomial in is a continuous function of
23 40
s a consistent estimator of p, byInvariance property of consistent
Since
S i n o
r1-X isalsoa consistent estimator of p(1-p)
estimator,
Srample
-00X0
he
chowthat from the Cauchy population
-
sanmplemeani a ienot aconsistant estimatorbut sample median is aconsistentestimator
Solution:
n bea random sample from the Cauchy population. Its
Let XX2
probabilitydistribution is
S,p)=-
put X-=z,
AlHe- E
2tane 23
cannot tend to zero
as n , Hence
that Pl>e
It is independent ofn
so
not a consistent
estimator of
the sample mean is
is 4 for the given caucny
distribution of median
The sampling
population.
23.41 Mathematical Statist
Here E(X)=4 are VarX 4n1
n-o
lim Var(X)=lim =0
no 4n
xis a consistent estimator of .
and
where & pe
n1A2.n) does not involve 0.
Exampl boilev bls
that is a sufficient estimator of
Chow the mean H ofa normal population
nown
with the known variance a stotueSntee eo yst o
Solution:
The likelihood function of the sample is given by olqm?
e 20e 9
(ov2T
Now -
i=l
w - - -
isl 1012 2 i w
o sre v 2nomanie boieuro
2
b +2)4+2-A
- +0+x
E-+{-u
1
L
o2
oV2n
