Find the value of b that minimizes the mse

Reference no: EM132461962

Let X1, . . . , Xn ∼ iid N(µ, τ ) with both µ and τ unknown. Consider estimators of the form δb(x) = bS^2 , where S ^2 = (Xi - X¯) ^2 . Note that we have already considered estimators of this form with b = 1/n and b = 1/n-1.

(a) Calculate the MSE for δb(x) as a function of the choice b.

(b) Find the value of b (depending on n) that minimizes the MSE.

Reference no: EM132461962

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