In Section 9.3 we emphasized the notion of most efficient estimator by comparing the variance of two unbiased estimators and however this does not take into account bias in case one or both estimators are not unbiased. Consider the quantity where MSE denotes mean squared error. The MSE is often used to compare two estimators and of 6 when either

In Section 9.3 we emphasized the notion of "most efficient estimator" by comparing the variance of two unbiased estimators and however this does not take into account bias in case one or both estimators are not unbiased. Consider the quantity where MSE denotes mean squared error. The MSE is often used to compare two estimators and of 6 when either or both is unbiased because (i) it is intuitively reasonable and (ii) it accounts for bias. Show that MSE can be written