Let X1,...,Xn ∼ iid N(μ,τ) with both μ and τ unknown. Consider estimators of the form δb(x) = bS2, where S2 = ∑ni=1(Xi −X ̄)2. Note that we have already considered estimators of this form with b = 1/n and b = 1/n−1. (a) Calculate the MSE for δb(x) as a function of the choice b. (b) Find the value of b (depending on n) that minimizes the MSE. (c) Is the resulting estimator unbiased? If not, what is the bias?

MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
icon
Related questions
Question

Let X1,...,Xn ∼ iid N(μ,τ) with both μ and τ unknown. Consider estimators of the form δb(x) = bS2, where S2 = ∑ni=1(Xi −X ̄)2. Note that we have already considered estimators of this form with b = 1/n and b = 1/n−1.

(a) Calculate the MSE for δb(x) as a function of the choice b.
(b) Find the value of b (depending on n) that minimizes the MSE.

(c) Is the resulting estimator unbiased? If not, what is the bias?

Expert Solution
trending now

Trending now

This is a popular solution!

steps

Step by step

Solved in 4 steps with 26 images

Blurred answer
Recommended textbooks for you
MATLAB: An Introduction with Applications
MATLAB: An Introduction with Applications
Statistics
ISBN:
9781119256830
Author:
Amos Gilat
Publisher:
John Wiley & Sons Inc
Probability and Statistics for Engineering and th…
Probability and Statistics for Engineering and th…
Statistics
ISBN:
9781305251809
Author:
Jay L. Devore
Publisher:
Cengage Learning
Statistics for The Behavioral Sciences (MindTap C…
Statistics for The Behavioral Sciences (MindTap C…
Statistics
ISBN:
9781305504912
Author:
Frederick J Gravetter, Larry B. Wallnau
Publisher:
Cengage Learning
Elementary Statistics: Picturing the World (7th E…
Elementary Statistics: Picturing the World (7th E…
Statistics
ISBN:
9780134683416
Author:
Ron Larson, Betsy Farber
Publisher:
PEARSON
The Basic Practice of Statistics
The Basic Practice of Statistics
Statistics
ISBN:
9781319042578
Author:
David S. Moore, William I. Notz, Michael A. Fligner
Publisher:
W. H. Freeman
Introduction to the Practice of Statistics
Introduction to the Practice of Statistics
Statistics
ISBN:
9781319013387
Author:
David S. Moore, George P. McCabe, Bruce A. Craig
Publisher:
W. H. Freeman