Let X1, ..., Xn be i.i.d. N(0,0). Show that 0 cha =1 V Xž is a consistent estimator of o if and only if C 5. Show that t

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Let X1 Xn Be I I D N 0 0 Show That 0 Cha 1 V Xz Is A Consistent Estimator Of O If And Only If C 5 Show That T 1 (74.48 KiB) Viewed 109 times

Let X1, ..., Xn be i.i.d. N(0,0). Show that 0 cha =1 V Xž is a consistent estimator of o if and only if C 5. Show that the MLE of o is given by ô VAL=1 Xand determine the asymptotic relative efficiency of with C = compared to ô the MLE of o. Hint: Use the asymptotic efficiency of maximum likelihood estimates.