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Rao-Blackwell estimator of a squared normal mean
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Mathematics
Area of mathematics
Probability and statistics
Rao-Blackwell theorem
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For independent
X
1
,
X
2
∼
N
(
μ
,
1
)
, the unbiased estimator
X
1
2
−
1
of
μ
2
has mean square error
2
+
4
μ
2
. Conditioning on the sufficient statistic
T
=
X
1
+
X
2
gives
E
[
X
1
2
−
1
∣
T
]
=
4
T
2
−
2
1
,
(227)
whose mean square error is
1/2
+
2
μ
2
.
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(5)
Rao-Blackwell theorem
Probability and statistics
Area of mathematics
Mathematics
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