The Rao–Blackwell theorem states that if g(X) is any kind of estimator of a parameter θ, then the conditional expectation of g(X) given T(X), where T is a ...
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The following theorem says that if we want an estimator with small MSE we can confine our search to estimators which are functions of the sufficient statistic.
Jun 3, 2023 · The Rao-Blackwell theorem is a powerful method for improving estimators by conditioning on sufficient statistics, with applications in machine ...
The Rao-Blackwell Theorem is a famous and very general result about the relative variance of estimators. Specifically, given an estimator ˆθn of some parameter ...