If T(x)be an estimator of θ , then bias term can be defined as,
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the bias term is define as the difference between it's expectation and true value.
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Bias term can be defined as .
Explanation:
- Suppose that
are iid, each with pdf/pmf
unknown.
- We aim to estimate
by a statistic, i.e by a function T of the data.
- If
then our estimate is
(does not involve
). Here,
is our estimator of
, and is a random variable since it inherits random fluctuations from those of X.
- Now we have
is an estimator of
.
- Then the bias of
is the difference between its expectation and the ’true’ value:
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