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Merberg, A and Miller, SJ (2008)

The Cramér-Rao Inequality

Course Notes for Math 162: Mathematical Statistics.

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Abstract: The Cramér-Rao Inequality provides a lower bound for the variance of an unbiased estimator of a parameter. It allows us to conclude that an unbiased estimator is a minimum variance unbiased estimator for a parameter. In these notes we prove the Cramér-Rao inequality and examine some applications. We conclude with a discussion of a probability distribution for which the Cramér-Rao inequality provides no useful information.

@misc{, AUTHOR = {Merberg, A. AND Miller, S. J.}, TITLE = {The Cramer-Rao Inequality}, HOWPUBLISHED = {Course Notes for Math 162: Mathematical Statistics}, YEAR = {2008}, }

Reference Type: E-Print

Subject Area(s): Statistics