Tagged Questions

1
vote
0answers
30 views

Cramer-Rao bound for $\chi^2$ distribution parameter estimates.

I've stuck in unpleasant problem with noncentral $\chi^2$ distribution. I work with random variables, distributed as $\chi^2_{\nu}(\lambda)$, where $\nu$ is the degree of freedom and $\lambda$ is ...
1
vote
1answer
160 views

Sufficiency and UMVUE for Poisson distribution

I need to show that $\hat\lambda = \bar X$ is a sufficient estimator for a Poisson distribution iid $X_1...X_n$, show that $\hat\lambda$ is the UMVUE for $\lambda$ and that $\hat\lambda$ is a ...
2
votes
1answer
26 views

Multi-dimensional MLE Guassian

I wonder that what is the mu and sigma formula MLE(maximum likelihood estimates) for a 3 dimension guassian ? It is the same form as 1 and 2 dimension (+ 1 mu and sigma for the new vector) ?
0
votes
0answers
58 views

Problem about parameter estimation, recursive representation of posterior distribution.

I am studying in preparation for an exam and got stuck with the following question. The only thing I found out is that maybe I should use a Kalman filter, but no idea how. Given a model $ x = \theta ...
0
votes
1answer
201 views

Expected value for the number of goals in a game

I'm trying to use odds data from bookmakers to estimate the expected number of goals in a game. We have these known facts: P(o4.5) = 0.573 P(o5.5) = 0.458 P(o6.5) = 0.279 P(o4.5) is the ...
2
votes
1answer
515 views

How to efficiently estimate quantile function of Gamma distribution

I have an application that analyzes datasets comprised mostly of samples from a Gamma distribution. Mixed in with the data are an unknown number ($>= 0$) of outlier samples (which are actually taken ...