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Frequently Asked Questions

Is an estimator of a parameter biased or consistent?

It is biased, but consistent since converges to 1. Loosely speaking, an estimator of parameter is said to be consistent, if it converges in probability to the true value of the parameter: The bias is indeed non zero, and the convergence in probability remains true. I appreciate the response and explanation. I have a better understanding now. Thanks

Is an estimator unbiased?

). The second equation follows since θ is measurable with respect to the conditional distribution . An estimator is said to be unbiased if its bias is equal to zero for all values of parameter θ, or equivalently, if the expected value of the estimator matches that of the parameter.

How do you know if an estimator is consistent?

Formally speaking, an estimator Tn of parameter θ is said to be consistent, if it converges in probability to the true value of the parameter: A more rigorous definition takes into account the fact that θ is actually unknown, and thus the convergence in probability must take place for every possible value of this parameter.

Is a consistent estimator asymptotically unbiased?

A consistent estimator is asymptotically unbiased. An unbiased estimator is consistent if its variance vanishes while increasing the sample size. Are we ever not biased? Nope. We all have biases, and we carry them with us everywhere we go.

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