Consider the maximum-likelihood estimator $tilde{sigma}^{2}$ of $sigma^{2}$ in the simple linear regression model. We know that $tilde{sigma}^{2}$

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Consider the maximum-likelihood estimator $\tilde{\sigma}^{2}$ of $\sigma^{2}$ in the simple linear regression model. We know that $\tilde{\sigma}^{2}$ is a biased estimator for $\sigma^{2}$.

a. Show the amount of bias in $\tilde{\sigma}^{2}$.

b. What happens to the bias as the sample size $n$ becomes large?

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Introduction To Linear Regression Analysis

ISBN: 9781119578727

6th Edition

Authors: Douglas C. Montgomery, Elizabeth A. Peck, G. Geoffrey Vining

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