4.II.27I

Principles of Statistics | Part II, 2007

Assuming sufficient regularity conditions on the likelihood f(xθ)f(x \mid \theta) for a univariate parameter θΘ\theta \in \Theta, establish the Cramér-Rao lower bound for the variance of an unbiased estimator of θ\theta.

If θ^(X)\hat{\theta}(X) is an unbiased estimator of θ\theta whose variance attains the Cramér-Rao lower bound for every value of θΘ\theta \in \Theta, show that the likelihood function is an exponential family.

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