' $

Exercise
Suppose that
iid
(Xi , Yi ) ∼ N (µi , σ 2 ) for i = 1, 2, ..., n,

and that all pairs (X1 , Y1 ), (X2 , Y2 ), ..., (Xn , Yn ) are independent of
each other as well.
2
(a) Find σ
bmle .
2
(b) What’s E(b
σmle )?
(c) Let Zi = Xi − Yi . What’s the distribution of Zi ?
bz2 .
(d) Find the MLE of σ 2 based on {Z1 , Z2 , ..., Zn } — call it σ
σz2 )?
(e) What’s E(b

Remark This is known as the Neyman-Scott Problem.

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ActSc 613 | Lecture 15 © 2015-17 by M. Zhu, PhD 1 of 1