Solutions to Week 5 Exercises

√ D √ D P
1.a. By the CLT, n(X̄n − µ) → N (0, σ 2 ), which is equivalent to n((X̄n − µ)/σ) → N (0, 1). Since Sn → σ,
P
then Sn /σ → 1. Then
√ √
n(X̄n − µ) 1 n(X̄n − µ) D
= → N (0, 1)
σ Sn /σ Sn

by the Continuous Mapping Theorem and Slutsky’s Theorem.

1.b.

n
1X
Mk,n = (Xj − X̄n )k
n j=1
n k  
1 XX k
= (−1)h X̄nh Xjk−h
n j=1 h
h=0
k   n
X k 1 X k−h
= (−1)h X̄nh X
h n j=1 j
h=0
k  
X k 0
= (−1)h X̄nh Mk−h,n , (∗)
h
h=0

0
Pn P P
where Mk,n = n−1 j=1
0
Xjk . By the Weak Law of Large Numbers, Mk,n → µk . Also, X̄n → 0. Then every
P
term in the summation in (∗) converges in probability to 0 except the term where h = 0. Thus, Mk,n → µk .

Pn iid
2. Since X ∼ Binomial(n, p), then X = j=1 Zj , where Z1 , . . . , Zn ∼ Bernoulli(p). By the CLT,
√ √ Pn D √
n(X/n−p) = n( j=1 Zj /n−p) → N (0, p(1−p)). Let g(x) = arcsin( x). Then g 0 (x) = 0.5(x(1−x))−1/2 ,
√ p √ D
and so p(1 − p)(g 0 (p))2 = 0.25.Then by the Delta Method, n(arcsin( X/n) − arcsin( p)) → N (0, .25).

3.a.

Xn n
X
Var( wj Xj ) = wj2 σj2
j=1 j=1
n
X (1/σj2 )2
= Pn σ2
j=1
( k=1 (1/σk2 ))2 j
1
= Pn 2 .
j=1 (1/σj )

3.b. Note that E(X

en ) = µ. By Markov’s Inequality, for  > 0, P (|X en − µ)2 )/2 =
en − µ| > ) ≤ E((X

1
 en )/2 . Thus, if Pn 2 1
Var(X j=1 (1/σj ) → ∞, then Var(X
en ) = Pn 2 → 0, so that X
en is consistent for µ.
j=1 (1/σj )