Let X1,...,Xn form a random sample from a distribution for

Chapter 7, Problem 10

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Let X1,...,Xn form a random sample from a distribution for which the p.d.f. or the p.f. is f (x| ), where . Suppose that the value of must be estimated, and that T is a sufficient statistic for . Let be an arbitrary estimator of , and let 0 be another estimator defined by the relation 0 = E(|T ). Show that for every value of , E (|0 |) E (| |).

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