unbiased estimators

**Jason Bourne** · March 8th 2008, 07:48 AM

Let $X_1,X_2, . . . ,X_n$ be independent random variables, each with unknown mean $\mu$ and unknown variance $\sigma^2$ . Further, let $Y_1, Y_2, . . . , Y_m$ be independent random
variables (and independent of $X_1,X_2, . . . ,X_n$ ), also with mean $\mu$ and variance $\sigma^2$

(a) Show that $W = a\bar{X} + (1-a)\bar{Y}$ is an unbiased estimator of $\mu$ , where $\bar{X}$ and $\bar{Y}$
are the respective sample means of the two samples.

(b) Show that $Var(W)=\sigma^2 \{\frac{a^{2}}{n} + \frac{(1-a)^2}{m}\}$

(c) Show that $Var(W)$ is minimized when $a=\frac{n}{n+m}$

(d) Show that

$S^2 = \frac{(n-1)S^2_X + (m-1)S^2_Y}{n+m-2}$

is an unbiased estimator of $\sigma^2$ , where $S^2_X$ and $S^2_Y$ are the respective sample variances of the two samples.

**CaptainBlack** · March 8th 2008, 09:35 AM

Originally Posted by Jason Bourne

Let $X_1,X_2, . . . ,X_n$ be independent random variables, each with unknown mean $\mu$ and unknown variance $\sigma^2$ . Further, let $Y_1, Y_2, . . . , Y_m$ be independent random
variables (and independent of $X_1,X_2, . . . ,X_n$ ), also with mean $\mu$ and variance $\sigma^2$

(a) Show that $W = a\bar{X} + (1-a)\bar{Y}$ is an unbiased estimator of $\mu$ , where $\bar{X}$ and $\bar{Y}$
are the respective sample means of the two samples.

(b) Show that $Var(W)=\sigma^2 \{\frac{a^{2}}{n} + \frac{(1-a)^2}{m}\}$

(c) Show that $Var(W)$ is minimized when $a=\frac{n}{n+m}$

(d) Show that

$S^2 = \frac{(n-1)S^2_X + (m-1)S^2_Y}{n+m-2}$

is an unbiased estimator of $\sigma^2$ , where $S^2_X$ and $S^2_Y$ are the respective sample variances of the two samples.

Are you sure that the $X_i$ 's are not supposed to be iid RV's?
(same for the $Y_i$ 's)

If they were then your problem is to show that $E(W)=\mu$ given that $E(\bar{X})=\mu$ , and $E(\bar{Y})=\mu$ , and $E(S^2)=\sigma^2$ , given $E(S_X)=\sigma^2$ and $E(S_Y)=\sigma^2$

(though come to think of it this almost certainy works even if we drop the assumption of identical distributions)

RonL

**Jason Bourne** · March 8th 2008, 02:32 PM

Originally Posted by CaptainBlack

Are you sure that the $X_i$ 's are not supposed to be iid RV's?

I don't know what you mean by "iid RV's". The problem is exactly as I have stated it.

Originally Posted by CaptainBlack

If they were then your problem is to show that $E(W)=\mu$ given that $E(\bar{X})=\mu$ , and $E(\bar{Y})=\mu$ , and $E(S^2)=\sigma^2$ , given $E(S_X)=\sigma^2$ and $E(S_Y)=\sigma^2$

This seems like along the right lines for this part of the question thanks.

**CaptainBlack** · March 9th 2008, 01:22 AM

Originally Posted by Jason Bourne

I don't know what you mean by "iid RV's". The problem is exactly as I have stated it.

iid RV's: independent identicaly distributed random variables

RonL

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