NTU-Exam 板


LINE

课程名称︰经济学与计量经济学专题 课程性质︰经济系、所选修 课程教师︰郭汉豪 开课学院:社科院 开课系所︰经济系 考试日期(年月日)︰111.06.06~111.06.08 考试时限(分钟):4320 试题 : 部分数学式以TeX语法编写。 1. Bayesian Point Estimation (30 points) This question is about estimating functions of parameters by Bayesian methods. The random variable under consideration is denoted by x. Image that our potent- ial data will consist of realization(s) of x. The conditional density of condi- tional likelihood of x is f(x|μ), where μ us a scalar parameter. The prior density of μ is g(μ). The marginal density (unconditional density) of x is denoted by f_G(x) = \int_μ f(x|μ)g(μ)dμ. The posterior density of μ us denoted by f(μ|x) = f(x|μ)g(μ)/f_G(x). The parameter of interest is denoted by λ=h(μ), which is a function of μ. In our classes, we considered the cases where λ=μ. The Bayes desicion is δ(x). The loss function for point estimation is L(δ(x),λ)=(δ(x)-λ)^2. The Bayes risk is defined as in the reference book that W(δ) = E[E(L|x)]. The Bayes dec- ision is the minimizer of the Bayes risk. (i.) Bayes Point Estimate Prove that the Bayes point estimate of λ\equiv h(μ) is the posterior mean of λ, E(λ|x). Write your arguments clearly. (ii.) Normal Random Variable Suppose x is normally distributed with mean μ and variance σ^2. The variance σ^2 is a known constant so that we do not need to have a prior distribution of it. Our parameter of interest is λ=exp{μ/σ}. The prior density of μ is not specified. Derive the Bayes point estimate of λ, in terms of the mariginal de- nsity. Note that this question is not example 1.3.6 in the reference book. The functional form of λ is different. 2. James-Stein Theorem (50 points) This question is about proving a general version of James-Stein theorem in whi- ch the random variables and the parameters of interest are independently norma- lly distributed. Precisely, we have the assumption (1.32) in Efron (2010, p.6). The observed ra- ndom variables are z_i, where i=1,...,N. The conditional distribution of z_i is N(μ_i, σ_0^2). The prior distribution of μ_i is N(M,A). (i.) Marginal and Posterior Distributions Prove the results in (1.33) in Efron (2010, p.6). That is, prove that the marg- inal distribution of z_i is N(M,A+σ_0^2) and that the posterior distribution of μ_i is N(M+B(z_i-M), Bσ_0^2), where B=A/(A+σ_0^2). (ii.) Empirical Bayes Estimator If the piror distribution is known, the Bayesian estimator of μ_i is the post- erior mean M+B(z_i-M). Suppose the parameters in the prior are unknown. Show that the James-Stein empirical Bayes estimator is μ_i in (1.35) in Efron (2010 , p.7). Hint: you need to derive an unbiased estimator of B by using the prope- rties of chi-squared distribution and gamma function. (iii.) James-Stein Theorem Prove the James-Stein theorem under this setting. Precisely, prove that (1.26) in Efron (2010, p.5) holds if N\geq4. Note that you do not need to use the pri- or distribution when you are proving the James-Stein theorem. The expectations in (1.26) are conditional on μ_i's. 3. Shrinkage (20 points) This question is about shrinkage estimation. Suppose y is a p*1 column of rand- om variables. Its i-th entry is y_i. They have heterogeneous first and second moments across i. For all i and j, E_μ(y_i)=μ_i, E_μ(y_i-μ_i)^2=σ_i^2, and E_μ(y_i-μ_i)(y_j-μ_j)=σ_{ij}. Note that σ_i^2 = σ_{ii}. The expectat- ions are conditional on μ. The situation is as follows. We have one observation of y_i for each i. Theref- ore, an obvious unbiased estimator for μ_i is \hat{μ_i}\equiv y_i; that is, \hat{μ}=y. Obviously, for all i and j, E_μ(\hat{μ_i})=μ_i, E_μ(\hat{μ}- μ_i)^2 = σ_i^2, and E_μ(\hat{μ}_i-μ_i)(\hat{μ_j}-μ_j)=σ_{ij}. Our main purpose is to estimate μ_i with small expected total mean squared er- rors. Thus we consider the following shrinkage estimatorL \hat{μ_i^s}\equiv\xi_i\hat{μ_i}, where \xi_i is a nonrandom number between 0 and 1. Please derive the conditions under which we have E_μMSE(\hat{μ^s},μ) < E_μMSE(\hat{μ},μ). --



※ 发信站: 批踢踢实业坊(ptt.cc), 来自: 140.112.73.222 (台湾)
※ 文章网址: https://webptt.com/cn.aspx?n=bbs/NTU-Exam/M.1654711962.A.7F7.html







like.gif 您可能会有兴趣的文章
icon.png[问题/行为] 猫晚上进房间会不会有憋尿问题
icon.pngRe: [闲聊] 选了错误的女孩成为魔法少女 XDDDDDDDDDD
icon.png[正妹] 瑞典 一张
icon.png[心得] EMS高领长版毛衣.墨小楼MC1002
icon.png[分享] 丹龙隔热纸GE55+33+22
icon.png[问题] 清洗洗衣机
icon.png[寻物] 窗台下的空间
icon.png[闲聊] 双极の女神1 木魔爵
icon.png[售车] 新竹 1997 march 1297cc 白色 四门
icon.png[讨论] 能从照片感受到摄影者心情吗
icon.png[狂贺] 贺贺贺贺 贺!岛村卯月!总选举NO.1
icon.png[难过] 羡慕白皮肤的女生
icon.png阅读文章
icon.png[黑特]
icon.png[问题] SBK S1安装於安全帽位置
icon.png[分享] 旧woo100绝版开箱!!
icon.pngRe: [无言] 关於小包卫生纸
icon.png[开箱] E5-2683V3 RX480Strix 快睿C1 简单测试
icon.png[心得] 苍の海贼龙 地狱 执行者16PT
icon.png[售车] 1999年Virage iO 1.8EXi
icon.png[心得] 挑战33 LV10 狮子座pt solo
icon.png[闲聊] 手把手教你不被桶之新手主购教学
icon.png[分享] Civic Type R 量产版官方照无预警流出
icon.png[售车] Golf 4 2.0 银色 自排
icon.png[出售] Graco提篮汽座(有底座)2000元诚可议
icon.png[问题] 请问补牙材质掉了还能再补吗?(台中半年内
icon.png[问题] 44th 单曲 生写竟然都给重复的啊啊!
icon.png[心得] 华南红卡/icash 核卡
icon.png[问题] 拔牙矫正这样正常吗
icon.png[赠送] 老莫高业 初业 102年版
icon.png[情报] 三大行动支付 本季掀战火
icon.png[宝宝] 博客来Amos水蜡笔5/1特价五折
icon.pngRe: [心得] 新鲜人一些面试分享
icon.png[心得] 苍の海贼龙 地狱 麒麟25PT
icon.pngRe: [闲聊] (君の名は。雷慎入) 君名二创漫画翻译
icon.pngRe: [闲聊] OGN中场影片:失踪人口局 (英文字幕)
icon.png[问题] 台湾大哥大4G讯号差
icon.png[出售] [全国]全新千寻侘草LED灯, 水草

请输入看板名称,例如:Soft_Job站内搜寻

TOP