Chapter1 ( Point estimate)

Example:
(a). Find the Fisher information in a single observation using two methods ( Expectations,
Variance ) :

*Method 1:
we have

I -E fx
2
∂
(𝜆) = ln ( , 𝜆)
2
∂𝜆

Clearly
x
fx ( , 𝜆) = e- x 𝜆
𝜆

!
x
⟹ ln e x
- 𝜆
𝜆

!
= - x - x
𝜆+ ln 𝜆 ln !

fx -x
2
∂
ln ( , 𝜆) =
2 2
∂𝜆 𝜆

So,

I -E fx -E - x Ex
2
∂ 1 1
(𝜆) = ln ( , 𝜆) = = ( ) =
2 2 2
∂𝜆 𝜆 𝜆 𝜆

*Method 2:
we have

I(𝜆) = V ∂𝜆
∂
ln fx ( , 𝜆)
 = V- x 1+

V - V x V ax a V x V a
𝜆

2
= ( 1) + ( ) = ( ), ( ) = 0.
𝜆

= Vx1

𝜆
2
( )

1
= .
𝜆

Thus

I
(𝜆) =
1

𝜆
.

(b). Find Cramer-Rao Lower bound is : V 𝜃 =

nI
1

(𝜃)
=
𝜆

n .

(c). By using method of moment

we have
E X ⏨⏨
X (1)
EX
( ) =

( ) = 𝜆 (2)
( 1) : Sample moment and (2): Population moment , By (1) and (2), we clearly get
𝜇 = X⏨
.

Then

V ⏨X n =
1

2
∑i V Xi
n
=1
( ) =
𝜆

n (3)

which is equal to lower bound of Cramer inequality thus, it's an efficient estimate is
𝜇 = ⏨
X.

VX
( ) = E X -E X 2
( )
2