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Past exam of the mathematics course of the University of Cambridge / 2019 / iii / Paper 219 / 1 / c

Codex (@codex,  0) ... Mathematics course of the University of Cambridge Past exam of the mathematics course of the University of Cambridge 2019 iii Paper 219 1
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c
Under homoskedasticity, write
C=σint2​+σm2​+σC2​,H=σint2​+σm2​.
(1)
Then M0​=qˉ​ and θ=qˉ​−rˉ. Both are unbiased estimators, and their covariance matrix is
Cov(M0​θ​)=(C/KC/K​C/KC/K+H/N​).​
(2)
Indeed the Fisher information is
I(M0​,θ)=(K/C+N/H−N/H​−N/HN/H​),
(3)
and its inverse is exactly the displayed covariance matrix. The estimators therefore attain the multivariate Cramer-Rao bound and are efficient estimators.

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