Paper 1, Section I, J

Statistical Modelling | Part II, 2011

Let Y1,…,YnY_{1}, \ldots, Y_{n} be independent identically distributed random variables with model function f(y,θ),y∈Y,θ∈Θ⊆Rf(y, \theta), y \in \mathcal{Y}, \theta \in \Theta \subseteq \mathbb{R}, and denote by EθE_{\theta} and Var⁡θ\operatorname{Var}_{\theta} expectation and variance under f(y,θ)f(y, \theta), respectively. Define Un(θ)=∑i=1n∂∂θlog⁡f(Yi,θ)U_{n}(\theta)=\sum_{i=1}^{n} \frac{\partial}{\partial \theta} \log f\left(Y_{i}, \theta\right). Prove that EθUn(θ)=0E_{\theta} U_{n}(\theta)=0. Show moreover that if T=T(Y1,…,Yn)T=T\left(Y_{1}, \ldots, Y_{n}\right) is any unbiased estimator of θ\theta, then its variance satisfies Var⁡θ(T)⩾(nVar⁡θ(U1(θ))−1\operatorname{Var}_{\theta}(T) \geqslant\left(n \operatorname{Var}_{\theta}\left(U_{1}(\theta)\right)^{-1}\right.. [You may use the Cauchy-Schwarz inequality without proof, and you may interchange differentiation and integration without justification if necessary.]

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