Value-at-Risk Theory and Practice
The first advanced book on value-at-risk
Chapter 4, Page 170 Exercise 4
Suppose a distribution has known mean (perhaps obtained by some symmetry argument) but unknown variance 2. Calculate the bias of the following estimator for 2:
[4.26]
Solution
[s1]
The estimator is unbiased.
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(perhaps obtained by some symmetry argument) but unknown
variance
2.
Calculate the bias of the following estimator for
