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    Rao-Blackwell Unbiased Theorem

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    We wish to estimate:
    var(X.bar) = mp(1 - p)/n.
    Where S=X1+X2+...+Xn is a random sample from a binomial (m, p) population

    1. Find an unbiased estimator of mp(1 - p)/n.
    Note that since E[X1] = mp, X1/m estimates p well, so we may try X1 (m - X1)/m2 as an estimator of p(1 - p), and a constant multiple of X1(m - X1) as an estimator of mp(1 - p)/n.

    2. Find the optimal estimator using the Rao-Blackwell Theorem.

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    Solution Preview

    Please see the attached file.

    Rao- Blackwell theorem
    If is a sufficient statistic for and is unbiased for , then there is a function of namely which is unbiased for and has variance lesser than that of .
    Thus the Rao- Blackwell ...

    Solution Summary

    The solution contains an application of Rao-Blackwell theorem to find an optimal estimator for a function of binomial parameter.