Optimal estimator construction

Questions asking to construct an estimator with specific properties (unbiased, minimum variance) or to find optimal values of parameters in a given estimator form.

1 questions

OCR S4 2013 June Q6
6 The continuous random variable \(X\) has mean \(\mu\) and variance \(\sigma ^ { 2 }\), and the independent continuous random variable \(Y\) has mean \(2 \mu\) and variance \(3 \sigma ^ { 2 }\). Two observations of \(X\) and three observations of \(Y\) are taken and are denoted by \(X _ { 1 } , X _ { 2 } , Y _ { 1 } , Y _ { 2 }\) and \(Y _ { 3 }\) respectively.
  1. Find the expectation of the sum of these 5 observations and hence construct an unbiased estimator, \(T _ { 1 }\), of \(\mu\).
  2. The estimator \(T _ { 2 }\), where \(T _ { 2 } = X _ { 1 } + X _ { 2 } + c \left( Y _ { 1 } + Y _ { 2 } + Y _ { 3 } \right)\), is an unbiased estimator of \(\mu\). Find the value of the constant \(c\).
  3. Determine which of \(T _ { 1 }\) and \(T _ { 2 }\) is more efficient.
  4. Find the values of the constants \(a\) and \(b\) for which $$a \left( X _ { 1 } ^ { 2 } + X _ { 2 } ^ { 2 } \right) + b \left( Y _ { 1 } ^ { 2 } + Y _ { 2 } ^ { 2 } + Y _ { 3 } ^ { 2 } \right)$$ is an unbiased estimator of \(\sigma ^ { 2 }\).