Question
Let X 1 ,...,X n be a random sample from N(, 2 ) distribution. 1)Find a lower bound on the variance of any unbiased estimator
Let X1,...,Xn be a random sample from N(,2) distribution.
1)Find a lower bound on the variance of any unbiased estimator of the 95th percentile of this distribution based on Fisher Information Inequality.
2)Compare this bound to the variance of the UMVUE
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An Introduction to Measure Theoretic Probability
Authors: George G. Roussas
2nd edition
128000422, 978-0128000427
