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Q4Section I (Objective (Q1–Q80))4 of 80

Cramer–Rao bound and unbiased estimator of σ\sigma

Let x1,x2,…,xnx_1,x_2,\dots,x_n be a random sample from N(μ,σ2)N(\mu,\sigma^{2}) distribution, the parameter μ\mu is known. Which of the following statements is/are correct?

I. The Cramer–Rao lower bound to the variance of an unbiased estimator of σ\sigma is 2θ2n\dfrac{2\theta^{2}}{n}, where θ=σ2\theta=\sigma^{2}.

II. An unbiased estimator of σ\sigma is ∑i=1n∣xi−μ∣n\dfrac{\sum_{i=1}^{n}|x_i-\mu|}{n}.

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