Mean square error

The mean square error of an estimator θ^ of the parameter θ is given by

MSE(θ^)=E[(θ^θ)2]=E[(θ^E(θ^)+E(θ^)θ^)2]=E[(θ^E(θ^)2+2(θ^E(θ^))(E(θ^θ))+(E(θ^)θ)2)]=E((θ^E(θ^))2)+2E((θ^E(θ^))(E(θ^)θ))+E((E(θ^θ))2)=var(θ^)+2(E(θ^)θ)(E(θ^)E(θ^))+bias2(θ^)=var(θ^)+0+bias2(θ^)=var(θ^)+[E(θ^)θ]2

So basically

E[(X¯μ)2]=Var(X¯)=σ2n