Evaluate the MSE: MSE (82) = (-+ var (8) so this is Bias² +variance when it comes to o ć + var((-)) ow is this bias How? now is this new variance var (x(n-1)) +2(n-1) ć(2n-1) =20- MSE (8) = var (4 =ναι (3) 2 Var 204 =(2(1) 204 n-1 204 Now MSE (20) <= MSZ (@²) ie. despite being biased, the MLE has smaller MSE than the unbiased estimator a
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In this case, the estimator is 82, and the true value is o2. Show moreā¦
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In Section 9.3, we emphasized the notion of "most efficient estimator" by comparing the variance of two unbiased estimators ĪĢā and ĪĢā of Īø. However, this does not take into account bias in case one or both estimators are not unbiased. Consider the quantity MSE = E(ĪĢ ā Īø)², where MSE denotes mean squared error. The MSE is often used to compare two estimators ĪĢā and ĪĢā of Īø when either or both is unbiased because (i) it is intuitively reasonable (we are comparing the expected squared distance from the true parameter) and (ii) it accounts for bias. (a) Show that MSE can be written MSE = E[ĪĢ ā E(ĪĢ)]² + [E(ĪĢ ā Īø)]² = Var(ĪĢ) + [Bias(ĪĢ)]², where Bias(ĪĢ) = E(ĪĢ) ā Īø. (This is the textbook problem 9.28, but a typo on the definition of MSE was corrected. Hint: you can write MSE = E[(ĪĢ ā EĪĢ) ā (Īø ā EĪĢ)]².) (b) An estimator pĢā of an unknown population proportion p is unbiased, but has standard deviation of 1. Another estimator pĢā of the same population parameter p has bias 0.1 and standard deviation of 0.2. Compute the MSE for pĢā and pĢā and see which one is smaller.
Adi S.
Suppose that we already know the fact: MSE(ĪøĢ) = E[(ĪøĢ - Īø)²] = Var(ĪøĢ) + [B(ĪøĢ)]² a. If ĪøĢ is an unbiased estimator for Īø, how does MSE(ĪøĢ) compare to Var(ĪøĢ)? b. If ĪøĢ is a biased estimator for Īø, how does MSE(ĪøĢ) compare to Var(ĪøĢ)?
Supreeta N.
Q7: Show that MSE(Ćā ĆĀø) = Var(Ćā ĆĀø) + [Bias(Ćā ĆĀø)]^2
Madhur L.
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