7.1.7. Let X₁, X2,..., Xn denote a random sample from a distribution that is N(μ,0), 0 < 0 < x, where is unknown. Let Y = E(X₁ - X)²2/n and let L[0, 8(y)] = [0-8(y)]². If we consider decision functions of the form 8(y) = by, where b does not depend upon y, show that R(0, 8) = (02/n²)[(n²-1)6²-2n(n-1)b+n²]. Show that b = n/(n+1) yields a minimum risk decision function of this form. Note that nY/(n + 1) is not an unbiased estimator of 0. With 8(y) = ny/(n + 1) and 0 <0<∞, determine maxe R(0,8) if it exists

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7.1.7. Let X₁, X2,..., Xn denote a random sample from a distribution that is
N(μ, 0), 0 < 0 <∞, where is unknown. Let Y = Σ₁(Xi − X)²/n and let
L[0, 8(y)] = [0-8(y)]². If we consider decision functions of the form 8(y) = by, where
b does not depend upon y, show that R(0, 8) = (0²/n²) [(n²-1)b²-2n(n-1)b+n²].
Show that b = n/(n+1) yields a minimum risk decision function of this form. Note
that nY/(n + 1) is not an unbiased estimator of 0. With 8(y) = ny/(n + 1) and
0 < 0 <∞, determine max, R(0,8) if it exists
Transcribed Image Text:7.1.7. Let X₁, X2,..., Xn denote a random sample from a distribution that is N(μ, 0), 0 < 0 <∞, where is unknown. Let Y = Σ₁(Xi − X)²/n and let L[0, 8(y)] = [0-8(y)]². If we consider decision functions of the form 8(y) = by, where b does not depend upon y, show that R(0, 8) = (0²/n²) [(n²-1)b²-2n(n-1)b+n²]. Show that b = n/(n+1) yields a minimum risk decision function of this form. Note that nY/(n + 1) is not an unbiased estimator of 0. With 8(y) = ny/(n + 1) and 0 < 0 <∞, determine max, R(0,8) if it exists
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