Optimal Estimators, Dice Posterior & Statistical Problems
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Combine Independent Unbiased Estimators
Let d1 and d2 be independent unbiased estimators of θ with variances σ12 and σ22, respectively:
- E[di] = θ for i = 1,2.
- Var(di) = σi2.
Any estimator of the form d = λ d1 + (1 - λ) d2 is also unbiased for any constant λ.
The variance (mean square error for an unbiased estimator) is
Var(d) = λ2σ12 + (1 - λ)2σ22.
To minimize Var(d) with respect to λ, differentiate and set to zero:
d/dλ Var(d) = 2λσ12 - 2(1 - λ)σ22 = 0.
Solving gives the optimal weight
λ* = σ22 / (σ12 + σ22).
Question 1: Posterior PMF for a Third Dice Roll
Assume there are five dice with sides {4, 6, 8, 12, 20}. One of these five dice is selected uniformly at random (probability 1/5) and rolled twice. The two observed results are... Continue reading "Optimal Estimators, Dice Posterior & Statistical Problems" »