Let be a random sample from Geometric Distrubution with parameter , that is

Find the Minimum Variance Unbiased Estimator for , where is a known positive interger.

please help on this one. thank you.

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- May 1st 2009, 01:12 AMKat-Mneed a help on a statistics problem
Let be a random sample from Geometric Distrubution with parameter , that is

Find the Minimum Variance Unbiased Estimator for , where is a known positive interger.

please help on this one. thank you. - May 1st 2009, 05:28 PMmatheagle
You first find the suff stat, which is any multiple of .

Then you want to find an unbiased estimator of your 'parameter' that is based on this sum.

The thing you want to estimate is .

The expected value of S is n/p. You can try S^c and see what you get, but the first thing I would note is that

S is a sum of geo's, hence it's a negative binomial.

To use the Rao-Blackwell Theorem directly let , so T is unbiased for that probability.

The UMVUE will be .

See example 9.1 from http://www.stat.unc.edu/faculty/cji/lecture9.pdf for the messy next steps.

So you need

We know since X_1 is a geo.

And via is a NB where you are waiting for the success.

via is a NB where you are waiting for the success.