Estimation Properties

EXAM II Formula Sheets

Estimation Properties

Unbiassedness E[] = 

Minimum Variance VAR() as small as possible (there is a Cremer-Rao Lower Bound)

Consistency _n  as n

Common Estimators

Given a sample x₁,…,x_n from f(x|) with parameter(s)  unknown

Method of Moments (MOM):

1. Set: Theoretical Distribution Moments = Sample Moments

E[X|] = (1/n) _i=1,n x

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