Processing math: 100%

Tuesday, February 7, 2012

Gamma

I was working on some mathematical statistics problems and I came across a slick estimation problem that I thought I would share.

Problem:
Given \left(f\mid k\right) = \frac{x^{k-1}\exp\left(-x/\theta\right)}{\Gamma\left(k\right)\cdot\theta^{k}},\,\,\,\textrm{ where } x \gt 0,\,\,\, k \gt 0,\,\,\, \theta = 1,
Determine whether it is possible to find a value of c such that d\left(X\right) = cX^{2} will be an unbiased estimator of k.

My attempt at a solution:

E\left[c\cdot X^{2}\right] = k
for the left hand side to be an unbiased estimator of k. c\cdot E\left[X^{2}\right] = k
is true via the properties of E\left[\cdot\right]. Rearranging terms we can see that c = \frac{k}{E\left[X^{2}\right]}
c = k\cdot\left(\int_{0}^{\infty}x^{2}\frac{x^{k-1}e^{-x}}{\Gamma\left(k\right)}\mathrm{d}\,\,x\right)^{-1} = k\cdot\left(\int_{0}^{\infty}\frac{x^{k+1}e^{-x}}{\Gamma\left(k\right)}\mathrm{d}\,\,x\right)^{-1}
k\cdot\Gamma\left(k\right)\cdot\left(\int_{0}^{\infty}x^{k+1}e^{-x}\mathrm{d}\,\,x\right)^{-1} = \frac{\Gamma\left(k+1\right)}{k\cdot\Gamma\left(k+1\right)}=\frac{1}{k}.
So the value of c such that E\left[cX^{2}\right] is NOT an unbiased estimator of k is 1/k because by definition, an unbiased estimator of some parameter \theta cannot depend on the value of \theta.

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