4 The independent random variables \(X\) and \(Y\) have normal distributions where \(X \sim \mathrm {~N} \left( \mu , \sigma ^ { 2 } \right)\) and \(Y \sim \mathrm {~N} \left( 3 \mu , 4 \sigma ^ { 2 } \right)\). Two random samples each of size \(n\) are taken, one from each of these normal populations.
- Show that \(a \bar { X } + b \bar { Y }\) is an unbiased estimator of \(\mu\) provided that \(a + 3 b = 1\), where \(a\) and \(b\) are constants and \(\bar { X }\) and \(\bar { Y }\) are the respective sample means.
In the remainder of the question assume that \(a \bar { X } + b \bar { Y }\) is an unbiased estimator of \(\mu\).
- Show that \(\operatorname { Var } ( a \bar { X } + b \bar { Y } )\) can be written as \(\frac { \sigma ^ { 2 } } { n } \left( 1 - 6 b + 13 b ^ { 2 } \right)\).
- The value of the constant \(b\) can be varied. Find the value of \(b\) that gives the minimum of \(\operatorname { Var } ( a \bar { X } + b \bar { Y } )\), and hence find the minimum of \(\operatorname { Var } ( a \bar { X } + b \bar { Y } )\) in terms of \(\sigma\) and \(n\).