Paper 3, Section II,
Random variables are independent and identically distributed from the exponential distribution , with density function
when the parameter takes value . The following experiment is performed. First is observed. Thereafter, if have been observed , a coin having probability of landing heads is tossed, where is a known function and the coin toss is independent of the 's and previous tosses. If it lands heads, no further observations are made; if tails, is observed.
Let be the total number of 's observed, and . Write down the likelihood function for based on data , and identify a minimal sufficient statistic. What does the likelihood principle have to say about inference from this experiment?
Now consider the experiment that only records . Show that the density function of has the form
Assuming the function is twice differentiable and that both and vanish at 0 and , show that is an unbiased estimator of , and find its variance.
Stating clearly any general results you use, deduce that