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Q18Section I (Objective (Q1–Q80))18 of 80

MVB estimator achieves the Cramer–Rao bound

Let x1,x2,…,xnx_1,x_2,\dots,x_n be a random sample from N(μ,σ2)N(\mu,\sigma^2), the parameter μ\mu being known. The unknown (θ=σ2)(\theta=\sigma^2) parameter is σ2\sigma^2 with parametric space Θ={θ∣0<θ<∞}\Theta=\{\theta\mid0<\theta<\infty\} and S02=1n∑i=1n(xi−μ)2S_0^2=\tfrac1n\sum_{i=1}^n(x_i-\mu)^2. Which of the following statements is/are correct?

I. Var⁡(S02)\operatorname{Var}(S_0^2) is more than the CR lower bound.

II. Var⁡(S02)\operatorname{Var}(S_0^2) coincides with the CR lower bound.

III. S02S_0^2 is an MVB estimator of θ\theta.

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