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Principle: Among all unbiased estimators of a population parameter θ, choose one that has the minimum
variance.
Task 2: Show that the point estimator σˆ 2 = S 2 (sample variance) is an unbiased estimator of the population
( )
parameter σ 2 . That is, show E S 2 = σ 2 .
First, we take a short side trip, using the formula for sample mean.
1 n n
X = ∑ X i ⇒ nX = ∑ X i
n i =1 i =1
σ 2 + µ2 = E (Y )
2
Finally, we substitute into the shortcut formula for sample variance and simplify.
notes on the proof:
1 1 2
S2 =
n −1
∑ X i 2 − (∑ X i )
n
( )
E S2 =
1
n −1
2 1
∑ E X i − E
n
( ) [(∑ X ) ]
i
2
=
1
n −1
( ) {
2 1
∑ E X i − V (∑ X i ) + E (∑ X i )
n
[ 2
]}
1 2
=
n −1
( 2
) {
1
∑ σ + µ − nσ + (nµ )
2
n
2
}
1 nσ 2
n µ
2 2
=
n − 1
( 2
n σ + µ − )2
n
−
n
1
=
n −1
{ nσ 2 + nµ 2 − σ 2 − nµ 2 }
1
=
n −1
{ }
(n − 1) ∗ σ 2
( )
E S2 = σ 2