On the Attainment of Cramer-Rao and Bhattacharyya Bounds for the Variance of an Estimate
Fend, A. V.
Ann. Math. Statist., Tome 30 (1959) no. 4, p. 381-388 / Harvested from Project Euclid
If a variable $X$ has density function $f(x, \theta)$, then in many cases the Cramer-Rao bound or the Bhattacharyya bounds may be used to show that a function $d(x)$ is a uniformly minimum variance unbiased estimate of the real parameter $\theta$. In this paper it is shown that if $f(x, \theta)$ is a member of the family of densities of the Darmois-Koopman form, and if the variance of $d(x)$ achieves the $k$th Bhattacharyya bound, but not the $(k - 1)$th bound, then $f(x, \theta) = \exp\lbrack t(x)g(\theta) + g_0(\theta) + h(x)\rbrack$ and $d(x)$ is a polynomial in $t(x)$ of degree $k$. Further, the variance of any polynomial in $t(x)$ of degree $k$ will achieve the $k$th bound, so that if any such unbiased polynomial exists, it will necessarily be uniformly minimum variance unbiased. Some properties of these polynomial estimates are discussed.
Publié le : 1959-06-14
Classification: 
@article{1177706258,
     author = {Fend, A. V.},
     title = {On the Attainment of Cramer-Rao and Bhattacharyya Bounds for the Variance of an Estimate},
     journal = {Ann. Math. Statist.},
     volume = {30},
     number = {4},
     year = {1959},
     pages = { 381-388},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177706258}
}
Fend, A. V. On the Attainment of Cramer-Rao and Bhattacharyya Bounds for the Variance of an Estimate. Ann. Math. Statist., Tome 30 (1959) no. 4, pp.  381-388. http://gdmltest.u-ga.fr/item/1177706258/