Let X1,..., Xn be iid n(, 1). Show that the best unbiased estimator of 2 is 2

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Let X1,..., Xn be iid n(θ, 1). Show that the best unbiased estimator of θ2 is 2 - (1/n). Calculate its variance (use Stein's Identity from Section 3.6), and show that it is greater than the Cramer-Rao Lower Bound.

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Statistical Inference

ISBN: 978-0534243128

2nd edition

Authors: George Casella, Roger L. Berger

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Question Posted: May 26, 2016 05:25 AM

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Let X1,..., Xn be iid n(, 1). Show that the best unbiased estimator of 2 is 2

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i X i is a complete sufficient statistic for when X i n 1 2 1n is a function of i X i There...View the full answer

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