Miscellaneous

What is the Cramer Rao inequality used for?

What is the Cramer Rao inequality used for?

The Cramér-Rao Inequality provides a lower bound for the variance of an unbiased estimator of a parameter. It allows us to conclude that an unbiased estimator is a minimum variance unbiased estimator for a parameter.

How is Cramer Rao bound calculated?

The function 1/I(θ) is often referred to as the Cramér-Rao bound (CRB) on the variance of an unbiased estimator of θ. I(θ) = −Ep(x;θ) { ∂2 ∂θ2 logp(X;θ) } .

What is the Cramer Rao lower bound for the variance of unbiased estimator of the parameter?

In estimation theory and statistics, the Cramér–Rao bound (CRB) expresses a lower bound on the variance of unbiased estimators of a deterministic (fixed, though unknown) parameter, the variance of any such estimator is at least as high as the inverse of the Fisher information.

Does MLE achieve Cramer Rao lower bound?

Maximum Likelihood Estimation But this lower bound is exactly the variance-covariance matrix of the ML estimator that we have previously found. Therefore, all ML estimators achieve the Cramér-Rao lower bound. In this sense then, ML estimators are optimal.

Are unbiased estimators unique?

A very important point about unbiasedness is that unbiased estimators are not unique. That is, there may exist more than one unbiased estimator for a parameter. It is also to be noted that unbiased estimator does not always exists.

What is the purpose of the estimators?

Point estimators are functions that are used to find an approximate value of a population parameter from random samples of the population. They use the sample data of a population to calculate a point estimate or a statistic that serves as the best estimate of an unknown parameter.

What is unbiased estimator in statistics?

An unbiased estimator of a parameter is an estimator whose expected value is equal to the parameter. That is, if the estimator S is being used to estimate a parameter θ, then S is an unbiased estimator of θ if E(S)=θ. Remember that expectation can be thought of as a long-run average value of a random variable.

What does it mean for an estimator to be efficient?

best possible
An efficient estimator is an estimator that estimates the quantity of interest in some “best possible” manner. The notion of “best possible” relies upon the choice of a particular loss function — the function which quantifies the relative degree of undesirability of estimation errors of different magnitudes.

Is the MLE an unbiased estimator?

MLE is a biased estimator (Equation 12).

What is minimum variance bound?

In statistics a minimum-variance unbiased estimator (MVUE) or uniformly minimum-variance unbiased estimator (UMVUE) is an unbiased estimator that has lower variance than any other unbiased estimator for all possible values of the parameter.