In: Statistics and Probability
Consider an i.i.d. random sample of size 3 denoted by ?1,?2, ?3 from the same population, where the mean ? and variance ? 2 are unknown. Suppose that you have the following two different estimators for mean ?. (Remember: no work, no credit.) ?̂1 = 0.3?1 + 0.5?2 + 0.2?3 ?̂2 = 0.5?1 + 0.5?3 a. Is ?̂1 unbiased? b. Is ?̂2 unbiased? c. Which one is preferred, ?̂1 or ?̂2?
Solution
Consider an independent and identically distributed random sample X1,X2,X3 of size 3 from the same population with
Mean E(X)=
and Variance V( X) =
2
Consider two different estimators of
1
=0.3 X1 + 0.5 X2 +0.2 X3
E(
1)=E(0.3 X1 + 0.5 X2 +0.2 X3 )
=0.3E(X1) +0.5E(X2)+0.2E(X3)
=0.3
+0.5
+0.2
=
1
is unbiased estimator of
.
2=0.5X1
+ 0.5 X3
E(
2)=E(0.5X1 + 0.5 X3)
=0.5E(X1) +0.5E(X3)
=0.5+0.5
=
2is
unbiased estimator of
.
Now V(1)=V(0.3
X1 + 0.5 X2 +0.2 X3)
=0.322+0.52
2+0.22
2
=0.38
2
Similarly V(2)=V(0.5X1
+0.5X3)
=0.522+0.52
2
=0.52
Since V(1)
< V(
2)
then
1 is better estimator. So
1
is preferred nore than
2.