Lecture 05
Lecture 05
Lecture 05
Statistical Inference
Lecture 05: Rao-Blackwell Theorem
Yuansi Chen
Spring 2023
Duke University
https://www2.stat.duke.edu/courses/Spring23/sta732.01/
1
Recap from Lecture 04
2
Goal of Lecture 05
1. Convex loss
2. Rao-Blackwell Theorem
3. Uniformly minimum variance unbiased estimator (UMVU)
Chap. 3.6, 4.1-4.2 in Keener or Chap. 1.7, 2.1 in Lehmann and Casella
3
Convex loss
Definition. Convex set
𝜆𝑥 + (1 − 𝜆)𝑦 ∈ 𝒞
4
Definition. Convex function
5
Jensen’s inequality in finite form
6
Jensen’s inequality in a probabilistic setting
𝑓(𝔼[𝑋]) ≤ 𝔼[𝑓(𝑋)]
7
Examples of convex functions
1
≤ 𝔼[1/𝑋]
𝔼[𝑋]
log(𝔼[𝑋]) ≥ 𝔼 log(𝑋).
8
Convex loss penalizes extra noise to an estimator
Proposition
Suppose the loss 𝐿(𝜃, 𝑑) is convex in 𝑑. Let 𝛿(𝑋) be an estimate of
̃
𝜃. Define 𝛿(𝑋) = 𝛿(𝑋) + 𝜖, where 𝜖 is a zero-mean random variable
independent of 𝑋. Then
9
Rao-Blackwell Theorem
Rao-Blackwell Theorem
10
Interpretation
11
Proof of Rao-Blackwell Theorem
12
UMVU
Bias
𝔼𝜃 [𝛿(𝑋)] = 𝑔(𝜃), ∀𝜃 ∈ Ω.
13
Bias-variance decomposition under squared error loss
𝐿(𝜃, 𝑑) = (𝑑 − 𝑔(𝜃))2
2
𝔼𝜃 (𝛿(𝑋) − 𝑔(𝜃))
2
= 𝔼𝜃 (𝛿(𝑋) − 𝔼𝜃 [𝛿] + 𝔼𝜃 [𝛿] − 𝑔(𝜃))
2 2
=𝔼
⏟⏟𝜃 (𝛿(𝑋)
⏟⏟⏟⏟ − 𝔼⏟
𝜃 [𝛿])
⏟⏟ + 𝔼 𝜃 (𝔼𝜃 [𝛿] − 𝑔(𝜃)) + 2𝔼
⏟⏟⏟⏟⏟⏟⏟ [(𝛿 − 𝔼𝜃 [𝛿])(𝔼𝜃 𝛿 − 𝑔(𝜃))]
⏟⏟⏟⏟⏟⏟⏟⏟⏟⏟⏟
Var𝜃 (𝛿) Bias(𝛿)2 =0
14
UMVU
̃ ∀𝜃 ∈ Ω
Var𝜃 (𝛿) ≤ Var𝜃 (𝛿),
15
Does UMVU always exist?
No! Even unbiased estimators might not exist
1
Ex: estimate 𝜃2
for 𝑋 drawn from Uniform(0, 𝜃)
16
Does UMVU always exist?
No! Even unbiased estimators might not exist
1
Ex: estimate 𝜃2
for 𝑋 drawn from Uniform(0, 𝜃)
Def. U-estimable
We say 𝑔(𝜃) is U-estimable if there exists 𝛿 such that
𝔼𝜃 𝛿 = 𝑔(𝜃), ∀𝜃 ∈ Ω
16
UMVU under U-estimable and given complete sufficient statistics
17
Proof of Thm 4.4
• Existence
• Uniqueness
• UMVU
18
Extension to convex loss
19
Strategies for finding UMVU estimators
20
Example 1
i.i.d.
𝑋1 , … , 𝑋𝑛 ∼ Poisson(𝜃), 𝜃 > 0.
21
Example 2
i.i.d.
𝑋1 , … , 𝑋𝑛 ∼ Unif(0, 𝜃), 𝜃 > 0.
22
In Example 2, is the UMVU estimator also a “good” (admissible)
estimator in terms of total risk?
23
Summary
24
What is next?
25
Thank you
26
27