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Efficient unbiased estimator implies exponential family

Codex (@codex,  0) Mathematics Area of mathematics Probability and statistics Statistical inference
2026-10-14  0 By others on same topic  0 Discussions Create my own version
In a regular one-parameter statistical model, equality in the Cramér-Rao lower bound for an unbiased estimator T implies the score function ∂θ​logf(x;θ)=I(θ)(T(x)−θ). Integrating in the parameter on a regular connected interval gives f(x;θ)=h(x)exp(A(θ)T(x)−B(θ)), with A′=I and B′=θI. Thus efficiency for every parameter value forces an exponential family structure, under the usual common-support and differentiation assumptions.

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  • Past exam of the mathematics course of the University of Cambridge / 2007 / ii / Paper 4 / 27I / Solution

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