Point Estimation 3-Evaluation of Estimator

This notes confines to one of the ways of analyzing the quality of a point estimator for a parameter

  • Estimator
  • Estimate
  • Likelihood function
  • Method of Moments (MOM)
  • Maximum Likelihood Estimates (MLE)
  • Bias, Variance and Mean Squared Error (MSE) of an estimator
  1. Method of finding estimators
  2. Criteria to find a “best” estimator
  3. Assessing tools – goodness of estimator
  1. $\theta:$ Parameter
  2. $f(x_i|\theta):$ Probability density/mass function
  3. $L(\theta|X):$ Likelihood function
  4. $l(\theta|X)= \ln L(\theta|X):$ Log Likelihood function
  5. $T$: An Estimator for a parameter

1. An estimator of $\tau(\boldsymbol\theta)$, a function of parameter is any function $T=W(X_1,X_2,\cdots, X_n)$ of a sample; that is any statistic is a point estimator  

Here, $\boldsymbol{\theta}=(\theta_1, \theta_2, \cdots, \theta_k)$

2. Bias of T : E(T) – $\theta$

so if E(T) = $\theta$, T is called an $\textbf{unbiased estimator}$ for $\theta$    

3. MSE of T : $E[T-\theta]^2$

$$E[T-\theta]^2 = E[T-E(T)+E(T)-\theta]^2$$

$$=E[T-E(T)]^2+E[E(T)-\theta]^2+2*E[(T-E(T))(E(T)-\theta)]$$

T is a statistic, a function of $x_i$ (samples) and hence E(T) is independent of $x_i$

$$= V(T)+(E(T)-\theta)^2 + 2(E(T)-\theta) E(T-E(T))$$

since $E(T-E(T)) = 0$

$$=V(T)+(E(T)-\theta)^2$$

$$MSE_T = Var(T) + (Bias(T))^2$$

Following can be recalled from Sampling Distribution of a statistic

$E(\overline {X}) = \mu$, an unbiased estimator for $\mu$

$V(\overline {X} = \frac{\sigma^2}{n})$

$\Rightarrow MSE~(\overline {X}) = \frac{\sigma^2}{n}$

$S^2 = \frac{\sum{(X_i-\overline {X})^2}}{n-1}$

$E[S^2] = \sigma^2$, an unbiased estimator for $\sigma^2$

However, Variance of sample variance $S^2$ requires following approach.  

1. If $X_1,X_2,\cdots,X_n \sim f(X~|~\theta)$, then

$V(S^2) = \frac{1}{n} [\mu_4 – \frac{n-3}{n-1} \mu_2^2]$

2. In particular, if $X_1,X_2,\cdots,X_n \sim \text{Normal}~(\mu,~\sigma^2)$

$V(S^2) = V(\frac{n-1}{\sigma^2}\frac{\sigma^2}{n-1}S^2)$

$= \frac{\sigma^4}{(n-1)^2} V(\frac{n-1}{\sigma^2} S^2)$

$=\frac{\sigma^4}{(n-1)^2} V(\chi^2_{n-1})$

$= \frac{\sigma^4}{(n-1)^2} 2(n-1)$

$= 2\frac{\sigma^4}{n-1}$  

$V(\hat\sigma^2_{ML}) = V(\frac{n-1}{n} S^2)$

$= (\frac{n-1}{n})^2~ V(S^2)$

$= \frac{(n-1)^2}{n^2}~ \frac{2\sigma^4}{n-1}$

$= 2\frac{n-1}{n^2}~ \sigma^4$

$V(S^2) = \frac{2}{n-1}~ \sigma^4$

$2 \sigma^4 = (n-1)~ V(S^2)$

$\Rightarrow V(\hat\sigma^2_{ML}) = \frac{(n-1)}{n^2} ~(n-1)~ V(S^2)$

$=(\frac{n-1}{n})^2~ V(S^2)$

$V(\hat\sigma^2_{ML}) = (1-\frac{1}{n})^2~ V(S^2)$

$V(\hat\sigma^2_{ML}) \leq V(S^2)$

It can easily be observed that $n \rightarrow \infty ~~~V(\sigma^2) = V(S^2)$

$X1,X2,\cdots,Xn \sim \text{Gamma}~(\alpha,\beta)$ and let $\lambda = \frac{1}{\beta}$

$\alpha:$ Shape parameter; $\beta:$ Scale parameter; $\lambda:$ rate parameter

$f(x_i,\theta) = \frac{\lambda^{\alpha}}{\Gamma(\alpha)} x_i^{\alpha -1} \exp^{-\lambda x_i} ~~~~x_i>0,~ \alpha>0,~\lambda>0$

$\Rightarrow L(\theta|X) = \prod_{i=1}^n \frac{\lambda^{\alpha}}{\Gamma(\alpha)} x_i^{\alpha -1} e^{-\lambda x_i}$

$= (\frac{\lambda^\alpha}{\Gamma \alpha})^n \prod_{i=1}^n (x_i)^{\alpha – 1} e^{-\lambda \sum{x_i}}$

$l(\theta|X) = \alpha~n~\ln\lambda – n~\ln\Gamma(\alpha) + (\alpha-1) \sum{\ln x_i} – \lambda \sum{x_i}$

$\frac{dl}{d\theta} =0 \Rightarrow \alpha~n \frac{1}{\lambda} – \sum{x_i}= 0$

$\Rightarrow  \frac{\alpha ~n}{\lambda} = \sum{x_i}$

$\lambda_{ML} = \frac{\alpha n}{\sum{x_i}} = \frac{\alpha}{\bar{X}}$

Hence, if $\alpha$ is known

$\hat\beta_{ML} = \frac{\overline {X}}{\alpha}$

$\hat\lambda_{ML} = \frac{\alpha}{\overline {X}}$

If $X ~\sim \text{Gamma}(1,\beta)$, then $X \sim \text{Exponential}~(\beta)$ with mean $\beta$ and $f(x|\beta)=\frac{1}{\beta}~\exp(-\frac{x}{\beta})$

If $X_1,X_2,\cdots,X_n ~\sim \text{Exponential}(\beta)$ then $\sum X_i \sim \text{Gamma}(n,\beta)$

Then $E[\hat\beta_{ML}] = \frac{E(\overline {X})}{\alpha}$

$= E(\bar X)$ since $\alpha = 1$

$=\frac{n~\beta}{n}=\beta$

$E[\hat\beta_{ML}]=\beta$

On the other hand, if

$X ~\sim \text{Gamma}(1,\lambda)$, then $X \sim \text{Exponential}~(\lambda)$ with mean $~\frac{1}{\lambda}$and $f(x|\lambda)=\lambda~\exp(\lambda~x)$

$\bar X \sim \text{Gamma}~(n,n\lambda)$

Hence, $T=\frac{\alpha}{\bar X} ~= \frac{1}{\overline X} \sim \text{Inverse} ~\text{Gamma} (n, ~n\lambda)$

$\Rightarrow$ $E(T) =\frac{n}{n-1}~\lambda$ and

$V(T) =\frac{n^2}{(n-1)^2~(n-2)}~\lambda^2$

$X_1,X_2,\cdots ,X_n \sim \text{Beta}(1,\theta)$

$f(x_i,\theta) = \theta (1-x)^{\theta -1} ~~~ 0 < x < 1$

$L(\theta|X) = \prod \theta (1-x_i)^{\theta -1 }$

$L(\theta|X) =  \theta^n \prod(1-x_i)^{\theta -1 }$

$l(\theta|X) = n ~\ln\theta + (\theta -1) \sum \ln(1-x_i)$

$\frac{\partial~l}{\partial~\theta} = 0$

$\Rightarrow \frac{n}{\theta} + \sum \ln(1-x_i)$

$T= \hat\theta_{ML} = \frac{-n}{\sum \log(1-x_i)} = \frac{n}{u}$

It can be noted that $Y = 1-X ~\sim \text{Beta}(\theta,1)$

PDF of Y is $g(Y|\theta) = \theta y^{\theta – 1} ~~~ y>0, ~~~0<\theta<1$

Let Z = $-\ln Y$

$\frac{dz}{dy} = \frac{-1}{y}$

$\Rightarrow J = |\frac{dy}{dz}| = y = e^{-z}$

Hence, PDF of Z is

$h(Z|\theta) = \theta (e^{-z})^{\theta – 1} e^z = \theta e^{-\theta z}$

$\Rightarrow Z \sim \text{Exponential}(\theta) = \text{Gamma}(1,\theta)$ and $\theta: ~\text{rate~ parameter}$

$\Rightarrow U = \sum Z = -n \sum \ln(1-X_i) = \text{Gamma}(n,\theta)$

$\Rightarrow \frac{1}{U} \sim ~\text{Inverse~ gamma} (n,\theta) ~~\theta = \frac{1}{\beta} ~~~\beta : \text{Scale~parameter}$

$\Rightarrow E(T) =\frac{n}{n-1}~\lambda=\frac{n}{n-1}~\theta$ and hence T is not an unbiased estimator for $\theta$

It can also be observed that $V(T) =\frac{n^2}{(n-1)^2~(n-2)}~\lambda^2=\frac{n^2}{(n-1)^2~(n-2)}~\theta^2$

This shows that mean and variance of an estimator may not always be straight forward

Also to note that E(T) or V(T) may be very difficult in certain cases. For example, estimator of proportion parameter in negative binomial distribution is

$T = \hat \theta_{ML}  = \frac{r}{\overline {X}}$

$X_1,\cdots,X_n \sim \text{Poisson}~(\theta)$

$T_1=\hat\theta_{ML} = \overline {X}$

$E(T_1) = \mu = \theta$ and hence, $T_1$ is unbiased

$V(T_1) = \frac{\sigma^2}{n} = \frac{\theta}{n}$

For any distribution $E(S^2) = \sigma^2$ where $S^2$ is sample variance.

$\Rightarrow$ if $T_2 = S^2$ then ~$T_2$ is also unbiased.

$V(S^2) = \frac{1}{n} [\mu_4 – \frac{n-3}{n-1} \mu_2^2]$

$= \frac{1}{n} [(\lambda+3\lambda^2) – \frac{n-3}{n-1} \lambda^2]$

$=\frac{\lambda^2}{n}~\Big[2+\frac {2}{n-1}+\frac {1}{\lambda}\Big]$

$\Rightarrow V(T_1) < V(T_2)$

Let $X_1,X_2,\cdots,X_n$ be a random sample from a distribution with pdf $f(x~|~\theta)$ and $T(x) = W(x_1,x_2,\cdots,x_n)$ be any estimator satisfying Leibnitz Rule

$\frac{d}{d\theta}[E(T)] = \int \frac{d}{d\theta}[T.f(x|\theta)] dx$ and $V(x) < \infty$ then

$$V[T] \geq \frac{[\frac{d}{d\theta}E(T)]^2}{E[\frac{d}{d\theta} \log f(x|\theta)]^2}= \frac{[\frac{d}{d\theta}E(T)]^2}{E[\frac{dl}{d\theta}]^2}$$

Note on CRI

if T is an unbiased estimator, then E(T) = $\theta$

$\Rightarrow$ $\frac{d}{d\theta} E(T) = 1$

Hence CRI is

$$V[T] \geq \frac{1}{E\Big[\frac{dl}{d\theta}\Big]^2}$$

If $X_1,…,X_n \overset{iid}\sim f(X|\theta)$ then

$$E[\frac{dl}{d\theta}]^2 = n E[\frac{dlnf}{d\theta}]^2$$

$E\Big[\frac{d~l}{d\theta}\Big]^2 = -E\Big[\frac{d^2~l}{d\theta^2}\Big]$

It may be possible to use all these results for a given situation. (i.e. a random sample, has an unbiased estimator and use FIM)

$\Rightarrow$ CRI is $V(T) \geq \frac{1}{-n E\Big[\frac{d^2~l}{d~\theta^2}\Big]}$

FIM has to be applied for likelihoods (pdfs) that satisfy $E[\frac{dl}{d\theta}] = 0$ (necessary condition)

Let $X \sim \text{Uniform}(0,\theta)$

$f(x|\theta) = \frac{1}{\theta} ~~~ 0 < x < \theta$

$\frac{dl}{d\theta} = -\frac{1}{\theta}$ and $(\frac{dl}{d\theta})^2 = \frac{1}{\theta^2}$

$E[\frac{dl}{d\theta}]^2 = \frac{1}{\theta^2}$

$\frac{d^2~l}{d~\theta^2}$ = $\frac{1}{\theta^2}$

$E[\frac{d^2l}{d\theta^2}] = \frac{1}{\theta^2}$ and $-E[\frac{d^2 l}{d\theta^2}] = \frac{-1}{\theta~^2}$

Hence, $E[\frac{dl}{d\theta}]^2 \neq -E[\frac{d^2 l}{d\theta^2}]$

Parameter in the range of x is the reason for such a result.

$X_1,…,X_n \overset{iid}\sim  \text{Bernoulli} ~(\theta)$

$\Rightarrow f(x|\theta) = \theta^x  (1-\theta)^{1-x}$

$\ln f(x~|~\theta) = x \ln\theta + (1-x)~ \ln(1-\theta)$

$\frac{d~l}{d~\theta} = \frac{x}{\theta} + \frac{1-x}{1-\theta}(-1)$

$= \frac{x}{\theta} – \frac{1-x}{1-\theta}$

$\frac{d^2~l}{d\theta^2} = -\frac{x}{\theta^2} – \frac{1-x}{(1-\theta)^2}$

$E[\frac{d^2~l}{d\theta^2}] = -[\frac{1}{\theta^2} E(x) + \frac{1}{(1-\theta)^2} E(1-x)]$

$= -[\frac{1}{\theta^2} \theta + \frac{1}{(1-\theta)^2} (1-\theta)]$

$E[\frac{d^2~l}{d\theta^2}] = -[\frac{1}{\theta (1-\theta)}]$

$-E[\frac{d^2~l}{d\theta^2}] = \frac{1}{\theta (1-\theta)}$

$\Rightarrow$ CRI $\Rightarrow$

$V(T) \geq \frac{[\frac{d}{d\theta}E(T)]^2}{-n E[\frac{d^2~l}{d\theta^2}]}$

$V(T) \geq \frac{1}{-n E[\frac{d^2}{d\theta^2} lnf]}$

$\Rightarrow$ CRLB is,

$\frac{1}{-n E[\frac{d^2}{d\theta^2} lnf]} = \frac{1}{n[\theta (1-\theta)]^{-1}}$

$= \frac{\theta (1-\theta)}{n}$

Now, $T = \overline {X}$, an unbiased estimator for $\theta$ and

$V(\bar X) = \frac{\sigma^2}{n} = \frac{\theta (1-\theta)}{n}$

$\Rightarrow \overline {X}$ $\textbf{attains}$ CRLB.

$X_1,\cdots,X_n \overset{iid}\sim \text{Poisson} (\theta$)

$P(X=x) = e^{-\theta}~ \frac{\theta~^x}{x!} ~~~ x = 0,1,2,…$

$l(\theta|X) = -\theta + x \ln\theta +k$

$\frac{dl}{d\theta} = -1 +\frac{x}{\theta}$

$\frac{d^2 l}{d\theta^2} = -\frac{x}{\theta^2}$

$E[\frac{d^2 l}{d\theta^2}] = -\frac{1}{\theta^2} E(X)$

$= -\frac{1}{\theta^2} \theta = -\frac{1}{\theta}$

$\Rightarrow -E[\frac{d^2 l}{d\theta^2}] = \frac{1}{\theta}$

CRLB: $-\frac{1}{-n E[\frac{d^2 l}{d\theta^2}]}$

$= \frac{1}{n\frac{1}{\theta}} = \frac{\theta}{n}$

Consider $\hat\theta_{ML}=\overline {X}$

$V(\overline {X}) =\frac{\sigma^2}{n} = \frac{\theta}{n}$

$\hat\theta_{ML} = \overline {X}$ $\textbf{attains}$ CRLB.

$X_1,\cdots,X_n \overset{iid}\sim \text{Normal}(\mu,\sigma^2)$

$\textbf{CRLB:}$

$\frac{1}{-nE[\frac{d^2l}{d\theta^2}]}$

$= \frac{1}{-n(\frac{-1}{2\sigma^4})}$

$= \frac{2\sigma^4}{n}$

If $T_1 = S^2 = \frac{\sum (x_i – \overline {X})^2}{n-1}$ then $V(T_1) = \frac{2\sigma^4}{n-1}$

Now, $n-1 < n  \Rightarrow \frac{1}{n-1} > \frac{1}{n}$

$\Rightarrow \frac{2\sigma^4}{n-1} > \frac{2\sigma^4}{n}$

$\Rightarrow S^2$ does not attain CRLB

Also, if

$T_2 = \hat\sigma^2_{ML} = \frac{\sum(x_i – \overline {X})^2}{n}$ then,

$V(T_2) = \frac{n-1}{n^2}~ 2\sigma^4$

$= \frac{n-1}{n} \frac{2\sigma^4}{n}$

But $T_2$ is not unbiased and hence the numerator term of CRI is  

$E(T_2) = \frac{n-1}{n} \sigma^2$

$\frac{d}{d\sigma^2} E(T_2) = \frac{n-1}{n}$

$\Big[\frac{d}{d\sigma^2} E(T_2)\Big]^2 = (\frac{n-1}{n})^2$

$\Rightarrow$ CRLB is $\frac{(\frac{n-1}{n})^2}{-n(\frac{-1}{2\sigma^4})}$

$= \frac{(n-1)^2}{n^3} 2\sigma^4$

$\Rightarrow \hat\sigma^2_{MLE}$ does not attain CRLB$

Scale parameter $\beta$ is unknown

shape parameter$(\alpha)$ is assumed to be known

$X_1,\cdots,X_n \overset{iid} \sim \text{Gamma}~(\alpha,\beta)$

$f(x|\theta) = \frac{1}{\Gamma\alpha ~\beta^\alpha} x^{\alpha-1} e^{-\frac{x}{\beta}}$

$l = \ln f(x|\theta) = -ln \Gamma \alpha -~\alpha \ln \beta +~ (\alpha-1) \ln n – \frac{x}{\beta}$

$\frac{dl}{d\beta} = -\frac{\alpha}{\beta} + \frac{x}{\beta^2}$

$\frac{d^2l}{d\beta^2} = \frac{\alpha}{\beta^2} – \frac{2x}{\beta^3}$

$E[\frac{d^2l}{d\beta^2}] =\frac{\alpha}{\beta^2} – \frac{2}{\beta^3} \alpha \beta$

$= -\frac{\alpha}{\beta^2}$

Now, an estimator of $\beta$ is $T = \frac{\overline {X}}{\alpha}$ so that

$E(T) = \frac{1}{\alpha} E(\overline {X})$

$= \frac{1}{\alpha} \mu = \beta$

$\Rightarrow ~T$  is unbiased estimator of $\beta$

Also

$V(T) = \frac{1}{\alpha^2} V(\bar X) = \frac{1}{\alpha^2} \frac{\sigma^2}{n}$

$= \frac{1}{\alpha^2} \frac{\alpha \beta^2}{n}$

$= \frac{\beta^2}{n\alpha}$

$\Rightarrow$ CRLB is $\frac{1}{-nE[\frac{d^2l}{d\theta^2}]}$

$= \frac{1}{n \frac{\alpha}{\beta^2}}$

$= \frac{\beta^2}{n\alpha}$

$\Rightarrow$ MLE for $\beta$ attains CRLB.

$X_1,\cdots,X_n \overset{iid}\sim \text{Beta}(1,\beta)$ one shape parameter $\alpha = 1$ and another shape parameter $\beta>0$ is unknown

$f(x|\theta) = \beta (1-x)^{(\beta -1)}$

$l(\theta~|~X) = \ln\beta + (\beta -1) \ln(1-x)$

$\frac{dl}{d\theta} = ln(1-x) + \frac{1}{\beta}$

$\frac{d^2l}{d\theta^2} = -\frac{1}{\beta^2}$

$E[\frac{d^2l}{d\theta}] = -\frac{1}{\beta^2}$

Now,

$T = \hat\beta_{ML} = \frac{n}{y} = -\frac{n}{\sum log(1-x_i)}$

$E(T) = \frac{n}{n-1}\beta$

$\Rightarrow \textbf{T is not unbiased}$

$\Rightarrow \frac{d}{d\theta} E(T) = \frac{n}{n-1}$

$[\frac{d}{d\theta} E(T)]^2 = \frac{n^2}{(n-1)^2}$

$\textbf{CRLB} $$= \frac{\frac{n^2}{(n-1)^2}}{\frac{n}{\beta^2}}$

$=\frac{n}{(n-1)^2} \beta^2$

But $V(T) = \frac{n}{(n-1)^2} ~\beta^2 \frac{n}{n-2}$

$\Rightarrow T$ $\textbf{does not attain}$ CRLB

Let $T_1 = \frac{n-1}{n} T$

$E(T_1) = (\frac{n-1}{n}) E(T)$

$= \frac{n-1}{n}\frac{n}{n-1} \beta = \beta$

$V(T_1) = (\frac{n-1}{n})^2~V(T) $

$= (\frac{n-1}{n})^2 \frac{n^2}{(n-1)^2 (n-2)} \beta^2 = \frac{\beta^2}{n-2}$

CRLB is $\frac{1}{-n[\frac{d^2 l}{d\beta^2}]} = \frac{1}{n(\frac{1}{\beta^2})} = \frac{\beta^2}{n}$

So,$V(T_1) > CRLB$

$X_1,\cdots,X_n \overset{iid}\sim \text{Exponential}~(\beta)~~~~ \beta$: Scale Parameter

Equivalently,  $X\sim \text{Gamma}~(1,\beta)$.

$f(x|\beta) = \frac{1}{\beta} e^{\frac{-~x}{\beta}}$

$l(\theta|X) = -\ln \beta -\frac{x}{\beta}$

$\frac{dl}{d\theta} = -\frac{1}{\beta} + \frac{x}{\beta^2}$ and $\frac{d^2l}{d\beta^2} = \frac{1}{\beta^2}-\frac{2x}{\beta^3}$

$E[\frac{d^2l}{d\beta^2}] = \frac{1}{\beta^2} – \frac{2}{\beta^3} E(X)$

$= \frac{1}{\beta^2} – \frac{2}{\beta^3} \beta$

$= -\frac{1}{\beta^2}$

$\Rightarrow$ denominator of CRLB is

$-n E[\frac{d^2l}{d\beta^2}] = \frac{n}{\beta^2}$

Consider MLE of $\beta$

$T =\hat \beta_{ML} = \overline {X}$

$E(T) = E(\overline {X}) =\mu $

$= \frac{1}{\theta} = \beta $

$\Rightarrow$ T  is  unbiased

$V(T) = V(\overline {X})$

$V(T) =\frac{\sigma^2}{n}$

$V(T) =\frac{\beta^2}{n}$

CRLB is $ \frac{1}{-nE[\frac{d^2l}{d\theta^2}]} = \frac{1}{(\frac{n}{\beta^2})} = \frac{\beta^2}{n}$

$\Rightarrow V(T) = CRLB$

$\Rightarrow \overline {X} \textbf{attains}$ CRLB.

$X_1,\cdots,X_n \overset{iid}\sim \text{Exponential}~(\theta)~~~~ \theta = \frac {1}{\beta}$: rate Parameter

Goal is to check MLE $T_1$ of $\theta$ = $\frac{1}{\bar X}$ for CRLB.

$T_1 \sim IG(n,\frac{\beta}{n})$

$\Rightarrow E(T_1) = \frac{1}{(n-1)\frac{\beta}{n}} = \frac{n}{(n-1)} \frac{1}{\beta} = \frac{n}{n-1} \theta$

$V(T_1) = \frac{1}{(n-1)^2 (n-2) \frac{\beta^2}{n^2}} = \frac{n^2}{(n-1)^2 (n-2)} \theta^2$

Let $T = \frac{n-1}{n} T_1$

$E(T) = \frac{n-1}{n} E(T_1) = \theta$

T is an unbiased estimator of $\theta$

$V(T) = (\frac{n-1}{n})^2 ~~~V(T_1)$

$= (\frac{n-1}{n})^2 \frac{n^2}{(n-1)^2 (n-2)} \theta^2 = \frac{1}{n-2} \theta^2$

Now,

$l = lnf(X|\theta) = ln \theta -\theta x$

$\frac{dl}{d\theta} = \frac{1}{\theta} – x$

$\frac{d^2l}{d\theta^2} = \frac{-1}{\theta}$

$-E[\frac{d^2l}{d\theta^2}] = \frac{1}{\theta^2}$

$\Rightarrow$ CRLB is

$\frac{1}{-nE[\frac{d^2l}{d\theta^2}]}$

$= \frac{1}{n\frac{1}{\theta^2}} = \frac{\theta^2}{n}$

But

$V(T) = \frac{1}{n-2} \theta^2 \geq \frac{\theta^2}{n}$

$\Rightarrow$ T does not attain CRLB.

$\hat \theta_{ML}= Max\{x_{i}\} = y$

$f(y|\theta) = \frac{n y^{n-1}}{\theta^n} ~~~ 0 < y < \theta$

$E(Y) = \int_{0}^{\theta} \frac{n y^{n-1}}{\theta^n} y dy = \frac{n\theta}{n+1}$

Let $T_2 = \frac{n+1}{n} y$

$\Rightarrow E(T_2) = \frac{n+1}{n} E(y) = \theta$

$\Rightarrow  T_2$ is an unbiased estimator of $\theta$

Now $E(Y^2) = \frac{n}{\theta^n} \int_{0}^{\theta} y^2 y^{n-1} dy$

$= \frac{n}{\theta^n}\int_{0}^{\theta} y^{n+1} dy$

$= \frac{n}{\theta^n} [\frac{y^{n+2}}{n+2}]_{0}^{\theta} = \frac{n}{n+2} \theta^2$

$\Rightarrow V(Y) = \frac{n}{n+2} ~\theta^2 – \frac{n^2}{(n+1)^2}~ \theta^2$

$= n \theta^2 [\frac{1}{n+2} – \frac{n}{(n+1)^2}]$

$= n \theta^2 [\frac{(n+1)^2 – n(n+2)}{(n+1)^2(n+2)}]$

$= n\theta^2 [\frac{1}{(n+1)^2(n+2)}]$

$\Rightarrow V(T) = V(\frac{n+1}{n} y) = \frac{(n+1)^2}{n}~ V(Y)$

$V(T) = (\frac{n+1}{n})^2 \frac{n\theta~^2}{(n+1)^2(n+2)}$

$V(T) = \frac{\theta^2}{n(n+2)}$

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