Introduction to variance, You have two unbiased estimates,

Introduction to variance

Reference no: EM1311223

You have two unbiased estimates, e₁ and e₂, of a quantity with variances V₁ and V₂ respectively, and covariance Cov{e1,e₂} = C. Form a new unbiased estimate:

e₃ = a₁e₁+ a₂e₂

Find a₁ and a₂ to minimize the variance of e₃.

1. What is the variance of e₃?

2. Specialize to the case V₁ = V₂ = V and C = cV.

Reference no: EM1311223

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