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» Home » Basic Statistics »

Unbiasedness of an Estimator

This is probably the most important property that a good estimator should possess. According to this property if the statistic alpha bar is an estimator of alpha will be an unbiased estimator if the expected value of  alpha bar equals the true value of the parameteralpha
                            i.e.
            Consider the following worked example

Example:
            Show that the sample mean X bar is an unbiased estimator of the population meanmue.
Solution:
            In order to show that X bar is an unbiased estimator, we need to prove that
                                              
            We have
                                                     
            Therefore,
                                                  
            From the rule of expectation, the expected value of a linear combination is equal to the linear combination of their expectations, we have
                                               
            Since  are each random variable, their expected value will be equal to the probability meanmue,
                                              
            Therefore,         
Hence X bar is an unbiased estimator of the population meanmue



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