UMVUE for a geometric distribution
Let be a random sample from a geometric distribution, with probability function given by
Now I can show that the maximum likelihood estimator of a is given by the sample mean, and have found its mean and variance. Which I think is given by
However, I am not sure how to show whether this estimator has the minimum variance for an unbiased estimator of a (is it the minimum variance unbiased estimator of a) or determine whether the maximum likelihood estimator of a is mean square consistent.