Point Estimation

Using a point estimator θ^ to estimate θ

P(θ^=θ)=0

Suppose a random sample X1,,Xn is collected from a population and it is assumed that Xiiidf(x;θ)
Let the estimator of θ be θ^=θ^(X1,,Xn) be a function of Xis meant to estimate θ

Finding point estimators

Evaluation

Properties of a good estimator:

  1. Unbiasedness: E(θ^)=E(θ^(X1,,Xn))=θ
  2. Efficiency: var(θ^(X1,,Xn)) is as small as possible (more efficient per sample size)
  3. Consistency: θ^(X1,,Xn)θ as n
  4. Sufficiency: Does θ^ utilize all the information contained in the data to estimate θ?
  5. Likeliness: θ^(X1,,Xn) is the most likely value of θ give the data (θ^ is the choice with highest probability for the data)
  6. Robustness: θ^(X1,,Xn) has a sampling distribution that is not too adversely affected by violations of assumptions made in the model/analysis

An estimator θ^(X1,,Xn) is asymptotically unbiased for θ if

limnbias(θ^(X1,,Xn))=0

E(θ^)θ as n

If θ^ is unbiased for θ, and limnVar(θ^)CRLB=1, then θ^ is asymptotically efficient