Exercise 6.3 - $\hat{\sigma}^{2}_{\text{MLE}}$ is biased

Answers

Consider:

𝔼 [ ( x n x ¯ ) 2 ] = 𝔼 [ x n 2 ] + 1 N 2 j , k = 1 N 𝔼 [ x j x k ] 2 N j = 1 N 𝔼 [ x n x j ] .

The second term on the r.h.s. contains N components that equal to 𝔼 [ x 2 ] = μ 2 + σ 2 and N 2 N components that equal to 𝔼 [ x l x m ] = μ 2 , where l m . For the third term, the numbers are 1 and N 1 , thus:

𝔼 [ ( x n x ¯ ) 2 ] = N 1 N σ 2 ,

so is σ ^ MLE 2 . The unbiased estimation, of which one who has taken several elementary courses on probability and statistics should have been very familiar, is:

N N 1 σ ^ MLE 2 .

User profile picture
2021-03-24 13:42
Comments