Problem bank

Problem 222 of 333MediumStatisticsP222

Which divisor for the sample variance?

  1. Let X1,…,XnX_1, \dots, X_n be i.i.d. with mean μ\mu and variance σ2\sigma^2, and let S=∑i=1n(Xi−Xˉ)2S = \sum_{i=1}^n (X_i - \bar{X})^2.

    (a) Compute E[S]E[S]. Which constant cc makes S/cS/c an unbiased estimator of σ2\sigma^2?

    (b) Now assume the data are normal. Which cc minimizes the mean squared error E[(S/c−σ2)2]E[(S/c - \sigma^2)^2]?