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Lecture No 5
Lecture No 5
Theorem:
If the statistic be such that log L can be expressed in the form of log L = A( ) (t − ) , then t is
1
an MVB unbiased estimator of with variance .
A( )
Proof:
If E(t ) = + b( ) , where b( ) is the biased of and it is differentiable function of . Then MVB is
of the following type-
var(t )
1 + b( )2 ... ... ... (1)
2 log L
− E 2
var(t )
( )2 ... ... ... (2)
2 log L
− E 2
log L log L
− E = At − ( )
log L
= At − ( )
Where A is independent of x' s but may be a function of . Then we can write as (Cramer Rao
lower bound)
log L
= A( ) t − ( ) ... ... ... (3)
log L
= A( ) var(t )
2
We have, var
var(t ) =
( )2
log L
var
var(t ) =
( )2
A( )2 var(t )
var(t )2 =
( )2
A( )2
( )
var(t ) =
A( )
( )
. If ( ) = then the variance is
1
Thus t is MVB estimator of with variance . Now from
A( ) A( )
the equation (3) we have,
log L
= A( ) (t − )
Note: If the frequency function is not of log L = A( ) (t − ) form there may be still an
estimator of ( ) which has uniformly in smaller variance than any other estimator then it
is called a MVE.
MVB
Note: Efficiency of the estimator is given by
variance of the given estimator
Problem 1 : If x1 , x2 , , xn are drawn from the population N ( , 2 ), where 2 is known. Find
MVB estimator for and also find its variance.
( )=
−
− ( x, ) , 2 0
1
f x ; , 2
e 2 ;
2
n
1 − 2 2 ( xi − )
n 1 2
L = e
i =1
2
( ) − 21 (x
n
− )2
n
log L = − log 2 2
2 i
2 i =1
log L n
(xi − )
1
= 2
i =1
log L 1 n
= 2 xi − n
i =1
log L
= 2 nx − n
1
log L
= 2 (x − )
1
n
Problem 2: If x1 , x2 , , xn are drawn from the population N (0, 2 ) , where 2 is unknown. Find
MVB estimator for 2 and also find its variance.
( )=
−
1
f x ; 2
e 2 ; − x , 2 0
2
n
1 − 2 2
n 1 2
xi
L = e i =1
2
n
log (2 ) − log 2 − xi2
n n 1
log L = −
2 2 2 2 i =1
log L n
xi2
n 1
=− +
2 2 2 2 4 i =1
n 2
xi
log L n i =1 2
= −
2 2 4 n
log L n
2
xi −
1 1
= 2
2
2 4
n i =1
n
Hence
1 n 2
n i =1
xi is an MVB unbiased estimator for 2 and var ˆ 2 =
2 4
n
= A( ) ( )
Problem 3: A random sample x1 , x2 , , xn is drawn from P( ) . Find MVB estimator for and
also find its variance.
Solution: Since X ~ P( ) , then the p.d . f is-
e − x
f (x ; ) = ; x = 0,1,2, ... , 0
x!
e − n i
x
L=
x1! x2 ! ... xn1!
n
log L = −n + xi log − log xi !
i =1
log L
= −n +
xi
log L nx
= −n
log L
(x − )
1
=
n
f (x ; p ) = p x (1 − p )1− x
L = p i (1 − p )n− xi
x
n
log L = xi log p + n − xi log (1 − p )
i =1
n
n − xi
log L
=
xi − i =1
p p 1− p
log L nx n − nx
= −
p p 1− p
log L nx − pnx − np + pnx
=
p p (1 − p )
log L
(x − p )
n
=
p p (1 − p )
log L
(x − p )
1
=
p p (1 − p )
n