[Math] Estimator defined as sum of random variables and confidence interval

probabilitystatistics

I'm trying to solve a problem and I'm stumped.

Let the continuous random variables $X_1$, $X_2$, $X_3$ and $X_4$ be independent such that $X_1 \sim N(\mu, 1^2)$, $X_2 \sim N(\mu, 2^2)$, $X_3 \sim N(\mu, 3^2)$ and $X_4 \sim N(\mu, 4^2)$, where $\mu$ is an unknown parameter.

Define estimator $\hat{\mu}$ as

\begin{equation*}
\hat{\mu} = (4X_1 + 3X_2 + 2X_3 + X_4)/10
\end{equation*}

Calculate the 95% confidence interval of $\mu$ using $\hat{\mu}$ when $x_1 = 77,47$, $x_2 = 77,17$, $x_3 = 79,38$ and $x_4 = 81,87$.

Attempt at solution:

Since we know the variance of the random variables and that they are normally distributed we use the following confidence interval

\begin{equation}
\mu \in \left( \hat{\mu} \pm 1,96 \sqrt{\frac{\sigma ^2}{n}} \right)
\end{equation}

Where $n$ is the sample size. Here, $n =4$. Now I run into a problem. I'm not sure how to use $\hat{\mu}$. At first I used the ML estimator for $\mu$ to find
\begin{equation}
\overline{X} = \frac{1}{n} \sum ^n _{i=1} x_i = \frac{1}{4}(77,47 + 77,17 + 79,38 + 81,87) = 78,973.
\end{equation}
Then I plugged that into the equation for $\hat{\mu}$ to get
\begin{equation}
\hat{\mu} = (4\overline{X} + 3\overline{X} + 2\overline{X}+ \overline{X})/10 = \overline{X}.
\end{equation}
The variance of $\hat{\mu}$ I found to be
\begin{equation}
Var (\hat{\mu}) = (4^2Var(X_1) + 3^2Var(X_2) + 2^2Var(X_3)+ Var(X_4))/100 = 1,04.
\end{equation}
Using all of the above and plugging into the confidence interval does not yield the correct answer to problem (the solution manual says $\mu \in (76,2 ; 80,2)$. I would appreciate help!

Edit: I'm starting to suspect that the problem is my variance.

Best Answer

The aim is to calculate the 95% confidence interval of $\mu$ “using $\hat{\mu}$”. What is the sampling distribution of $\hat{\mu}$?

$\hat{\mu}$ is a sum of normal random variables, as a result, the distribution of $\hat{\mu}$ will also be normal with unknown mean $\mu$ and variance $V(\hat{\mu}) = 1.04$ (as you calculated). Accordingly, and since the variance is known, the pivotal quantity $$ \frac{\hat{\mu} - \mu}{\sqrt{V(\hat{\mu})}} $$ will follow a standard normal distribution. Consequently, the corresponding CI is simply $[\hat{\mu} - 1.96 \sqrt{V(\hat{\mu})}, \hat{\mu} + 1.96 \sqrt{V(\hat{\mu})}]$. Using the provided information, $\hat{\mu} = 78.202$ (why are using $\bar{X}$?) and $V(\hat{\mu}) = 1.04$, the CI is approximately (76.2, 80.2).

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