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Q21Section A (Section A)21 of 60

MLE of a common variance factor

Suppose X1,…,XnX_1,…,X_n are independent random variables and Xk∼N(0,kσ2)X_k\sim N(0,k\sigma^2), k=1,…,nk=1,…,n, where σ2\sigma^2 is unknown. The maximum likelihood estimator for σ2\sigma^2 is

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