Estimator bias and mean squared error
For estimator T of θ, bias is EθT−θ and MSE is Eθ[(T−θ)²]=Varθ(T)+bias².
Key knowledge
For estimator T of θ, bias is EθT−θ and MSE is Eθ[(T−θ)²]=Varθ(T)+bias². Unbiasedness means zero bias at every allowed θ and does not itself imply a small error or consistency.
Conditions and scope
- T is a data-dependent random variable under the stated sampling model.
- The displayed identity requires finite second moments.
Sources · 1
References
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Evidence and review
Lecture 12 section 12.3 bias, standard error and MSE decomposition.
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Entry details
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- math-estimator-bias-mse
- Revision
- university-core.1
- Structured reference record
- University core expansion