telmo-correa / all-of-statistics

Self-study on Larry Wasserman's "All of Statistics"
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Important issues with Exercise 12.11.2 #34

Open Pipe-Vash opened 1 year ago

Pipe-Vash commented 1 year ago

As correctly showed in the beginning of part b), $\mu \lvert X^n \sim Normal\left(\overline{X} , \frac{\sigma^2}{n}\right)$, with $\sigma=1$. In part d), what it is expected is the posterior of $\theta= e^{\mu}, i.e., we want \mu \lvert X^n. It is important to notice what in the posterior analysis we treat the parameters as random values and the data as constants, so the solutions presented in part d) is completely incorrect. The correct procedure is the following:

$$\begin{eqnarray} F_{\Theta}\left(\theta \vert X^n \right) &=& \mathbb{P}\left(\Theta \leq \theta \vert X^n \right) = \mathbb{P}\left(e^{\mu} \leq \theta \lvert X^n \right) = \mathbb{P}\left(\mu \leq \log(\theta) \vert X^n \right) \ &=& \mathbb{P}\left(\left(\mu-\overline{X}\right) \frac{\sqrt{n}}{\sigma} \leq \left(\log(\theta)-\overline{X}\right) \frac{\sqrt{n}}{\sigma} \bigg\vert X^n \right) \ &\approx& \mathbb{P}\left( Z \leq \left(\log(\theta)-\overline{X}\right) \frac{\sqrt{n}}{\sigma} \bigg\vert X^n \right)= \Phi\left[\left(\log(\theta)-\overline{X}\right) \frac{\sqrt{n}}{\sigma}\right] \end{eqnarray}$$