Let \(X_{1}, \ldots, X_{n}\) be a set of independent and identically distributed random variables from an \(\operatorname{ExponEntiaL}(\theta)\) distribution. Suppose that we are interested in estimating the variance \(g(\theta)=\theta^{2}\) with the estimator \(g\left(\bar{X}_{n}ight)=\bar{X}_{n}^{2}\).

a. Find the bias and variance of \(g\left(\bar{X}_{n}ight)\) as an estimator of \(g(\theta)\) directly.

b. Find asymptotic expressions for the bias and variance of \(g\left(\bar{X}_{n}ight)\) as an estimator of \(g(\theta)\) using Theorem 10.1. Compare this result to the exact expressions derived above.

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Theorem 10.1. Let {X}1 be a sequence of independent and identically distributed random variables from a distribution F with mean 0 and variance 02. Suppose that f has a finite fourth moment and let g be a function that has at least four derivatives. 1. If the fourth derivative of g is bounded, then as n. -1 E[g(Xn)] = g(0) + nog (0) + O(n), 2. If the fourth derivative of g is also bounded, then as n. V[g(Xn)] = ng'(0)] + O(n),