**W**hen looking at questions on X validated, I came across this seemingly obvious request for an unbiased estimator of **P**(X=k), when X~**B**(n,p). Except that X is not observed but only Y~**B**(s,p) with s<n. Since **P**(X=k) is a polynomial in p, I was expecting such an unbiased estimator to exist. But it does not, for the reasons that Y only takes s+1 values and that any function of Y, including the MLE of **P**(X=k), has an expectation involving monomials in p of power s at most. It is actually straightforward to establish properly that the unbiased estimator does not exist. But this remains an interesting additional example of the rarity of the existence of unbiased estimators, to be saved until a future mathematical statistics exam!

## Archive for counterexample

## unbiased estimators that do not exist

Posted in Statistics with tags binomial distribution, counterexample, cross validated, exam, existence of unbiased estimators, monomial, teaching, unbiasedness on January 21, 2019 by xi'an## almost uniform but far from straightforward

Posted in Books, Kids, Statistics with tags counterexample, cross validated, maximum likelihood estimation, order statistics, statistics exam, teaching, The American Statistician, triangular distribution on October 24, 2018 by xi'an**A** question on X validated about a [not exactly trivial] maximum likelihood for a triangular function led me to a fascinating case, as exposed by Olver in 1972 in The American Statistician. When considering an asymmetric triangle distribution on (0,þ), þ being fixed, the MLE for the location of the tip of the triangle is necessarily one of the observations [which was not the case in the original question on X validated ]. And not in an order statistic of rank j that does not stand in the j-th uniform partition of (0,þ). Furthermore there are opportunities for observing several global modes… In the X validated case of the symmetric triangular distribution over (0,θ), with ½θ as tip of the triangle, I could not figure an alternative to the pedestrian solution of looking separately at each of the (n+1) intervals where θ can stand and returning the associated maximum on that interval. Definitely a good (counter-)example about (in)sufficiency for class or exam!

## best unbiased estimator of θ² for a Poisson model

Posted in Books, Kids, pictures, Statistics, Travel, University life with tags Bahamas, best unbiased estimator, complete statistics, counterexample, cross validated, George Forsythe, John von Neumann, Monte Carlo Statistical Methods, Poisson distribution, Rao-Blackwell theorem, sailing, shark, simulation on May 23, 2018 by xi'an**A** mostly traditional question on X validated about the “best” [minimum variance] unbiased estimator of θ² from a Poisson P(θ) sample leads to the Rao-Blackwell solution

and a similar estimator could be constructed for θ³, θ⁴, … With the interesting limitation that this procedure stops at the power equal to the number of observations (minus one?). But, since the expectation of a power of the sufficient statistics S [with distribution P(nθ)] is a polynomial in θ, there is *de facto* no limitation. More interestingly, there is no unbiased estimator of negative powers of θ in this context, while this neat comparison on Wikipedia (borrowed from the great book of counter-examples by Romano and Siegel, 1986, selling for a mere $180 on amazon!) shows why looking for an unbiased estimator of exp(-2θ) is particularly foolish: the only solution is (-1) to the power S [for a single observation]. (There is however a first way to circumvent the difficulty if having access to an arbitrary number of generations from the Poisson, since the Forsythe – von Neuman algorithm allows for an unbiased estimation of exp(-F(x)). And, as a second way, as remarked by Juho Kokkala below, a sample of at least two Poisson observations leads to a more coherent best unbiased estimator.)

## MAP as Bayes estimators

Posted in Books, Kids, Statistics with tags Bayesian inference, counterexample, loss function, MAP estimators, posterior distribution on November 30, 2016 by xi'an**R**obert Bassett and Julio Deride just arXived a paper discussing the position of MAPs within Bayesian decision theory. A point I have discussed extensively on the ‘Og!

“…we provide a counterexample to the commonly accepted notion of MAP estimators as a limit of Bayes estimators having 0-1 loss.”

The authors mention The Bayesian Choice stating this property without further precautions and I completely agree to being careless in this regard! The difficulty stands with the limit of the maximisers being not necessarily the maximiser of the limit. The paper includes an example to this effect, with a prior as above, associated with a sampling distribution that does not depend on the parameter. The sufficient conditions proposed therein are that the posterior density is almost surely proper or quasiconcave.

This is a neat mathematical characterisation that cleans this “folk theorem” about MAP estimators. And for which the authors are to be congratulated! However, I am not very excited by the limiting property, whether it holds or not, as I have difficulties conceiving the use of a sequence of losses in a mildly realistic case. I rather prefer the alternate characterisation of MAP estimators by Burger and Lucka as proper Bayes estimators under another type of loss function, albeit a rather artificial one.