Minimum-variance unbiased estimator

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In statistics a uniformly minimum-variance unbiased estimator or minimum-variance unbiased estimator (UMVUE or MVUE) is an unbiased estimator that has lower variance than any other unbiased estimator for all possible values of the parameter.

For practical statistics problems, it is important to determine the UMVUE if one exists, since less-than-optimal procedures would naturally be avoided, other things being equal. This has led to substantial development of statistical theory related to the problem of optimal estimation. While the particular specification of "optimal" here — requiring unbiasedness and measuring "goodness" using the variance — may not always be what is wanted for any given practical situation, it is one where useful and generally applicable results can be found.

Definition[edit]

Consider estimation of g(\theta) based on data X_1, X_2, \ldots, X_n i.i.d. from some member of a family of densities  p_\theta, \theta \in \Omega, where \Omega is the parameter space. An unbiased estimator \delta(X_1, X_2, \ldots, X_n) of  g(\theta) is UMVUE if  \forall \theta \in \Omega,

 \mathrm{var}(\delta(X_1, X_2, \ldots, X_n)) \leq \mathrm{var}(\tilde{\delta}(X_1, X_2, \ldots, X_n))

for any other unbiased estimator  \tilde{\delta}.

If an unbiased estimator of  g(\theta) exists, then one can prove there is an essentially unique MVUE. Using the Rao–Blackwell theorem one can also prove that determining the MVUE is simply a matter of finding a complete sufficient statistic for the family p_\theta, \theta \in \Omega and conditioning any unbiased estimator on it.

Further, by the Lehmann–Scheffé theorem, an unbiased estimator that is a function of a complete, sufficient statistic is the UMVUE estimator.

Put formally, suppose \delta(X_1, X_2, \ldots, X_n) is unbiased for g(\theta), and that T is a complete sufficient statistic for the family of densities. Then

 \eta(X_1, X_2, \ldots, X_n) = \mathrm{E}(\delta(X_1, X_2, \ldots, X_n)|T)\,

is the MVUE for g(\theta).

A Bayesian analog is a Bayes estimator, particularly with minimum mean square error (MMSE).

Estimator selection[edit]

An efficient estimator need not exist, but if it does and if it is unbiased, it is the MVUE. Since the mean squared error (MSE) of an estimator δ is

 \operatorname{MSE}(\delta) = \mathrm{var}(\delta) +[ \mathrm{bias}(\delta)]^{2}\

the MVUE minimizes MSE among unbiased estimators. In some cases biased estimators have lower MSE because they have a smaller variance than does any unbiased estimator; see estimator bias.

Example[edit]

Consider the data to be a single observation from an absolutely continuous distribution on \mathbb{R} with density

 p_\theta(x) = \frac{ \theta e^{-x} }{(1 + e^{-x})^{\theta + 1} }

and we wish to find the UMVU estimator of

 g(\theta) = \frac{1}{\theta^{2}}

First we recognize that the density can be written as

 \frac{ e^{-x} } { 1 + e^{-x} } \exp( -\theta \log(1 + e^{-x}) + \log(\theta))

Which is an exponential family with sufficient statistic T = \mathrm{log}(1 + e^{-x}). In fact this is a full rank exponential family, and therefore  T is complete sufficient. See exponential family for a derivation which shows

 \mathrm{E}(T) = -\frac{1}{\theta},\quad \mathrm{var}(T) = \frac{1}{\theta^{2}}

Therefore

 \mathrm{E}(T^2) = \frac{2}{\theta^{2}}

Clearly  \delta(X) = \frac{T^2}{2} is unbiased, thus the UMVU estimator is

 \eta(X) = \mathrm{E}(\delta(X) | T) = \mathrm{E} \left( \left. \frac{T^2}{2} \,\right|\, T \right) = \frac{T^{2}}{2} = \frac{\log(1 + e^{-X})^{2}}{2}

This example illustrates that an unbiased function of the complete sufficient statistic will be UMVU.

Other examples[edit]

\frac{k+1}{k} m - 1,
where m is the sample maximum. This is a scaled and shifted (so unbiased) transform of the sample maximum, which is a sufficient and complete statistic. See German tank problem for details.

See also[edit]

Bayesian analogs[edit]

References[edit]

  • Keener, Robert W. (2006). Statistical Theory: Notes for a Course in Theoretical Statistics. Springer. pp. 47–48, 57–58. 
  • Voinov V. G.,, Nikulin M.S. (1993). Unbiased estimators and their applications, Vol.1: Univariate case. Kluwer Academic Publishers. pp. 521p.