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Business, 22.02.2021 19:30 officialgraciela67

This is a more general version of Problem C.1. Let Y1, Y2, …, Yn be n pairwise uncorrelated random variables with common mean m and common variance 2. Let Y denote the sample average. (i) Define the class of linear estimators of m by Wa a1Y1 a2Y2 … anYn,
where the ai are constants. What restriction on the ai is needed for Wa to be an unbiased estimator of m?
(ii) Find Var(Wa).
(iii) For any numbers a1, a2, …, an, the following inequality holds: (a1 a2 … an)2/n a1 a2 … an. Use this, along with parts (i) and (ii), to show that
2 2 2
Var(Wa) Var(Y) whenever Wa is unbiased, so that Y is the best linear unbiased estimator. [Hint: What does the inequality become when the ai satisfy the restriction from part (i)]

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This is a more general version of Problem C.1. Let Y1, Y2, …, Yn be n pairwise uncorrelated random...

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