**A** question that came out on X validated is asking for help in figuring out the UMVUE (uniformly minimal variance unbiased estimator) of (1-θ)^{½} when observing iid Bernoulli B(θ). As it happens, there is no unbiased estimator of this quantity and hence not UMVUE. But there exists a Bernoulli factory producing a coin with probability (1-θ)^{½} from draws of a coin with probability θ, hence a mean to produce unbiased estimators of this quantity. Although of course UMVUE does not make sense in this sequential framework. While Nacu & Peres (2005) were uncertain there was a Bernoulli factory for θ^{½}, witness their Question #1, Mendo (2018) and Thomas and Blanchet (2018) showed that there does exist a Bernoulli factory solution for θ^{a}, 0≤a≤1, with constructive arguments that only require the series expansion of θ^{½}. In my answer to that question, using a straightforward R code, I tested the proposed algorithm, which indeed produces an unbiased estimate of θ^{½}… (Most surprisingly, the question got closed as a “self-study” question, which sounds absurd since it could not occur as an exercise or an exam question, unless the instructor is particularly clueless.)

## Archive for UMVUE

## another Bernoulli factory

Posted in Books, Kids, pictures, R, Statistics with tags Bernoulli factory, Cockatoo Island, cross validated, existence of unbiased estimators, industrial ruins, Sydney Harbour, UMVUE on May 18, 2020 by xi'an## absurdly unbiased estimators

Posted in Books, Kids, Statistics with tags best unbiased estimator, completeness, conditioning, Erich Lehmann, sufficiency, The American Statistician, UMVUE, unbiased estimation on November 8, 2018 by xi'an

“…there are important classes of problems for which the mathematics forces the existence of such estimators.”

**R**ecently I came through a short paper written by Erich Lehmann for The American Statistician, Estimation with Inadequate Information. He analyses the apparent absurdity of using unbiased estimators or even best unbiased estimators in settings like the Poisson P(λ) observation X producing the (unique) unbiased estimator of exp(-bλ) equal to

which is indeed absurd when b>1. My first reaction to this example is that the question of what is “best” for a single observation is not very meaningful and that adding n independent Poisson observations replaces b with b/n, which gets eventually less than one. But Lehmann argues that the paradox stems from a case of missing information, as for instance in the Poisson example where the above quantity is the probability **P**(T=0) that T=0, when T=X+Y, Y being another unobserved Poisson with parameter (b-1)λ. In a lot of such cases, there is no unbiased estimator at all. When there is any, it must take values outside the (0,1) range, thanks to a lemma shown by Lehmann that the conditional expectation of this estimator given T is either zero or one.

I find the short paper quite interesting in exposing some reasons why the estimators cannot find enough information within the data (often a single point) to achieve an efficient estimation of the targeted function of the parameter, even though the setting may appear rather artificial.

## best unbiased estimators

Posted in Books, Kids, pictures, Statistics, University life with tags best unbiased estimator, complete statistics, cross validated, Erich Lehmann, Lehmann-Scheffé theorem, mathematical statistics, maximum likelihood estimation, Pitman best equivariant estimator, Rao-Blackwell theorem, Sankhya, sufficiency, Theory of Point Estimation, UMVUE on January 18, 2018 by xi'an**A** question that came out on X validated today kept me busy for most of the day! It relates to an earlier question on the best unbiased nature of a maximum likelihood estimator, to which I pointed out the simple case of the Normal variance when the estimate is not unbiased (but improves the mean square error). Here, the question is whether or not the maximum likelihood estimator of a location parameter, when corrected from its bias, is the best unbiased estimator (in the sense of the minimal variance). The question is quite interesting in that it links to the mathematical statistics of the 1950’s, of Charles Stein, Erich Lehmann, Henry Scheffé, and Debabrata Basu. For instance, if there exists a complete sufficient statistic for the problem, then there exists a best unbiased estimator of the location parameter, by virtue of the Lehmann-Scheffé theorem (it is also a consequence of Basu’s theorem). And the existence is pretty limited in that outside the two exponential families with location parameter, there is no other distribution meeting this condition, I believe. However, even if there is no complete sufficient statistic, there may still exist best unbiased estimators, as shown by . But Lehmann and Scheffé in their magisterial 1950 Sankhya paper exhibit a counter-example, namely the U(θ-1,θ-1) distribution:

since no non-constant function of θ allows for a best unbiased estimator.

Looking in particular at the location parameter of a Cauchy distribution, I realised that the Pitman best equivariant estimator is unbiased as well [for all location problems] and hence dominates the (equivariant) maximum likelihood estimator which is unbiased in this symmetric case. However, as detailed in a nice paper of Gabriela Freue on this problem, I further discovered that there is no uniformly minimal variance estimator and no uniformly minimal variance unbiased estimator! (And that the Pitman estimator enjoys a closed form expression, as opposed to the maximum likelihood estimator.) This sounds a bit paradoxical but simply means that there exists different unbiased estimators which variance functions are not ordered and hence not comparable. Between them and with the variance of the Pitman estimator.