Question

S -E θ2 θ, Var | θί σ. Var 021-σ3. and Cov | θι.02 ov 61,02 σ12. Consider the uppose that E [1 unbiased estimator What value should be chosen for the constant a in order to minimize the variance and thus mean squared error of 03 as an estimator of θ? Note: The second derivative of the variance function is positive, which you can figure out by knowing that the correlation coefficient ρ- 012 is between-1 and 1; however, since this is a bit tricky, feel free to init the step of checking the second derivative

Answer 1