Chan Lecture 6 : Minimum Variance Unbiased Estimators ( LaTeX prepared by Ben Vondersaar ) April 27 , 2015
نویسنده
چکیده
An estimator is said to be unbiased if b(θ̂) = 0. If multiple unbiased estimates of θ are available, and the estimators can be averaged to reduce the variance, leading to the true parameter θ as more observations are available. Placing the unbiased restriction on the estimator simplifies the MSE minimization to depend only on its variance. The resulting estimator, called the Minimum Variance Unbiased Estimator (MVUE), have the smallest variance of all possible estimators over all possible values of θ, i.e.,
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