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Part CCSIR NET June 2024a-tight-prior-wins-a-flat-prior-yields

A tight prior wins a flat prior yields

Let Y1,…,Yn(n≥2)Y_{1}, \dots, Y_{n} (n \ge 2) be independent observations; YiY_{i} ~ N(βxi,σ2),i=1,…,nN(\beta{}x_{i}, \sigma^{2}), i = 1, \dots, n; where x1,…,xnx_{1}, \dots, x_{n} and σ2(>0)\sigma^{2}(> 0) are known constants and β∈R\beta \in \mathbb{R} is an unknown parameter. Consider N(β0,τ2)N(\beta_{0}, \tau^{2}) prior for the parameter β\beta, where β0\beta_{0} and τ2(>0)\tau^{2}(> 0) are known constants, and N(μ,λ2)N(\mu, \lambda^{2}) denotes a normal distribution with mean μ\mu and variance λ2\lambda^{2}. Suppose ȳ =(1/n)∑i= (1/n)\sum_{i}₌1nyi_{1}^{n}y_{i} and xˉ=(1/n)∑i{\bar{x}} = (1/n)\sum_{i}₌1nxi_{1}^{n}x_{i} are observed sample means. Under squared error loss function, which of the following statements are true?

  1. A.Bayes estimate of β\beta tends to β0\beta_{0} as τ2→0\tau^{2} \to 0✓ Correct
  2. B.Bayes estimate of β\beta tends to ȳ/x̄ as τ2→0\tau^{2} \to 0
  3. C.Bayes estimate of β\beta tends to the BLUE of β\beta as τ2→∞\tau^{2} \to \infty✓ Correct
  4. D.Bayes estimate of β\beta tends to MLE of β\beta as τ2→∞\tau^{2} \to \infty✓ Correct

You have the answer. Trap Analysis is why the other three were written.

Not a worked solution repeated four times — the specific reasoning error each wrong option was built to reward, and why this one tests boundary and endpoint.

See pricing

50 are analysed free — try those first.

The trap it tests

Boundary and endpoint

The statement turns at the edge of the interval, the domain, or the parameter range.

Drill statements like this

Related counterexample: The MLE is unbiased

More on this topic

The chapter behind this: Maximum likelihood and the method of moments — free to read

From Estimation › MLE and method of moments

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