Past exam of the statistics course of the University of Oxford / 2021 / 1 / a / iii / Solution

Write $A=-{\sum }_i\log X_i>0$, with $\log$ the natural logarithm. The likelihood function and log-likelihood function areThe score function is ${\ell }^{\prime }(\theta )=n/\theta -A$ and the second derivative is ${\ell }^{\prime \prime }(\theta )=-n/{\theta }^2<0$. Thus the log-likelihood function is strictly concave, its stationary point is the unique global maximum, and the maximum-likelihood estimator isThe one-observation Fisher information is $I(\theta )=1/{\theta }^2$. The support of a probability distribution here is independent of $\theta >0$, so the regular asymptotic normality of a maximum likelihood estimator givesThere is also a direct check: $U_i=-\log X_i$ has an exponential distribution with rate $\theta$, since $\mathbb{P}(U_i>u)=\mathbb{P}(X_i<e^{-u})=e^{-\theta u}$ for $u>0$. Its mean and variance are $1/\theta$ and $1/{\theta }^2$. Apply the central limit theorem to $A/n$ and the delta method to $h(u)=1/u$ to obtain the same result.