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Let of and 62 be two independent estimators of a common parameter ; for example, of and 2 may be computed using two independent samples.

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Let of and 62 be two independent estimators of a common parameter ; for example, of and 2 may be computed using two independent samples. Suppose that Ep[0;] = 0 and Varo(0;) = o? for i = 1, 2. (a) What is MSE(0, 0) for the weighted estimator 0:= Ad, + (1-A)6, where A c [0, 1)? Express it in terms of of and 02. (b) What choice of A minimizes the MSE

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