Solved – Find confidence interval via pivotal quantity

chi-squared-distributionmaximum likelihoodpivotself-study

Suppose $X_1, X_2, …, X_n$ is a random sample from a population with pdf

$$f(x|\theta) = \dfrac{1}{2\theta}e^{-|x|/\theta},x\in \mathbb{R}$$

The pivotal quantity is $\frac{2}{\theta}\sum_{i=1}^n |X_i|$. How to derive it? How to find pivotal in general?

Update:
Is $\frac{2}{\theta}\sum_{i=1}^n |X_i|$ a chi-square distribution?

P.S. this problem is from our previous comprehensive exam. We have no answer for it.

Best Answer

An outline of one way to approach it.

Step 1: show that $|X_i|/\theta$~Exponential(1)

Step 2: Hence explain how $\frac{2}{\theta}|X_i|\sim\chi^2_2$

Step 3: Hence give the distribution of $\frac{2}{\theta}\sum_i|X_i|$

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