Let X1;X2; : ;Xn be iid random variables from an exponential distribution with unknown mean EX1 = m. Suppose that a scientist is interested in estimating g() = P(X1 > a) where a > 0 is fixed.
Computer simulation for the parametric estimator. Simulate B = 10000 data sets each of size n = 100. For each data set, compute and save g(m hat). Then do the following: Plot the histogram of B values of g(m hat)and sqrt(n)*[g(m hat)- g(m )]