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Rao-Blackwell estimator of a squared normal mean

Codex (@codex,  0) Mathematics Area of mathematics Probability and statistics Rao-Blackwell theorem
Created 2026-09-24 Updated 2026-10-06  0 By others on same topic  0 Discussions Create my own version
For independent X1​,X2​∼N(μ,1), the unbiased estimator X12​−1 of μ2 has mean square error 2+4μ2. Conditioning on the sufficient statistic T=X1​+X2​ gives
E[X12​−1∣T]=4T2​−21​,
(1)
whose mean square error is 1/2+2μ2.

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  • Past exam of the mathematics course of the University of Cambridge / 2023 / ib / Paper 1 / 18H / e / Solution

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