Statistics – Find the UMVUE of $P(X \leq c)$ in Exponential Distribution

exponential distributionparameter estimationprobabilitystatistical-inferencestatistics

Given iid observations $X_1,…,X_n$ on X with the pdf $f_\theta (x)=e^{-(x-\theta)} I(x > \theta)$, find the UMVUE of $P(X \leq c)$, for fixed $c>0$.

My attempt:

I find $P(X \leq c)= 1-e^{-(c-\theta)}$

First, I find $T(X)=X_{(1)}$ is a complete and sufficient statistic for $\theta$. The any UMVUE should be based on $T(X)=X_{(1)}$.

I compute $E(T(X))=\frac{\theta n+1}{n}$. Thus, $T(X)=X_{(1)}$ is the UMVUE of $\frac{\theta n+1}{n}$. Now there's still one step away. How to get the UMVUE of $1-e^{-(c-\theta)}$.

My idea is to compute $E[ 1(X_1 \leq c) |T]$. But I don't know how to compute that. Or there exists other ideas, such as some transformation of the density $X_{(1)}$ and we can get the expectation directly to the $e^{\theta}$.

Best Answer

I follow Shao's approach with slight modifications and more details. We have $Y\sim e^{-(x-a)}\mathbf{1}_{(a,\infty)}(x)dx$ and $X=(X_1,...,X_n)$ is an IID random sample from the law of $Y$. The minimum $X_{(1)}$ is a complete and sufficient statistic for $a$, so the UMVUE of $P(Y\leq c)$ for $c$ fixed will have the form $f(X_{(1)})$ and $E[f(X_{(1)})]=(1-e^{-(c-a)})\mathbf{1}_{(a,\infty)}(c)$. We can find for $t\geq a$: $$P(X_{(1)}\geq t)=P(\cap_{k\leq n}\{X_k\geq t\})=e^{-n(t-a)}$$ and $1$ otherwise so $X_{(1)}\sim ne^{-n(x-a)}\mathbf{1}_{(a,\infty)}(x)dx$. So for $c> a$ $$E[f(X_{(1)})]=n\int_{(a,\infty)}f(x)e^{-n(x-a)}dx=1-e^{-(c-a)}$$ We solve the integral equation by differentiating wrt $a$: $$-nf(a)+n\cdot \underbrace{n\int_{(a,\infty)}f(x)e^{-n(x-a)}dx}_{=1-e^{-(c-a)}}=-e^{-(c-a)}$$ so $f(a)=1-e^{-(c-a)}+n^{-1}e^{-(c-a)}=1-e^{-(c-a)}(1-n^{-1})$ and therefore $$ f(x)=\begin{cases} 1-e^{-(c-x)}(1-n^{-1})&c> x\\ 0&c\leq x \end{cases}$$ gives the UMVUE. Indeed, we can check again the calculations. We have for $c>a$: $$\begin{aligned}E[f(X_{(1)})]&=n\int_{(a,\infty)}f(x)e^{-n(x-a)}dx\\ &=(1-e^{-n(c-a)})-(n-1)e^{na-c}\int_{(a,c)}e^{-x(n-1)}dx\\ &=1-e^{-(c-a)}\\ &=P(Y\leq c) \end{aligned}$$ while for $c\leq a$: $E[f(X_{(1)})]=0=P(Y\leq c)$. So we conclude.