An Example of an Improvable Rao–Blackwell Improvement, Inefficient Maximum Likelihood Estimator, and Unbiased Generalized Bayes Estimator

Abstract

The Rao-Blackwell theorem offers a procedure for converting a crude unbiased estimator of a parameter θ into a "better" one, in fact unique and optimal if the improvement is based on a minimal sufficient statistic that is complete. In contrast, behind every minimal sufficient statistic that is not complete, there is an improvable Rao-Blackwell improvement… (More)

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