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Q87Section III (Statistics)87 of 145

Shrinking towards 11 with weight 12\tfrac12 dominates XX when Var⁡X=μ2+1\operatorname{Var} X=\mu^2+1

Let X be a single observation with unknown mean E(X)=μ∈(−∞,∞)E(X)=\mu\in(-\infty,\infty) and variance Var⁡(X)=μ2+1\operatorname{Var}(X)=\mu^2+1. Consider the problem of estimating μ\mu based on X under the squared error loss L(μ,a)=(a−μ)2L(\mu,a)=(a-\mu)^2. Let T1=XT_1=X, T2=X/2+1/2T_2=X/2+1/2. Which of the following statements is true?

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