Friday, April 11, 2003

Limiting Distribution of Order Statistics

Asymptotic Relative Efficiency

Reading

Section 10.1.3

Homework

Problem: Let $X_1,\dots,X_n$ be a random sample from a Pareto$(1,\beta)$ distribution with density $f(x\vert\beta) = \beta/x^{\beta+1}$ for $x \ge 1$. Find the asymptotic relative efficiency of the method of moments estimator of $\beta$ to the MLE of $\beta$.

Due Friday, April 18, 2003.