Problem bank

Problem 229 of 333MediumStatisticsP229

MLE for an exponential rate

  1. Times between trades X1,…,XnX_1, \ldots, X_n are i.i.d. Exponential(λ)(\lambda) with density λe−λx\lambda e^{-\lambda x} for x≥0x \ge 0.

    (a) Find the MLE λ^\hat\lambda.

    (b) Is it unbiased? If not, give an unbiased estimator. (Use that ∑Xi∼\sum X_i \sim Gamma(n,λ)(n, \lambda).)

    (c) Use the Fisher information to give an approximate 95% confidence interval for λ\lambda when n=100n = 100 and xˉ=2\bar x = 2 seconds.