Bias, variance, MSE, and consistency

Problem

For i.i.d. Xi∼Bernoulli⁡(p)X_i\sim\operatorname{Bernoulli}(p), let Sn=∑iXiS_n=\sum_iX_i and Tn=(Sn+1)/(n+2)T_n=(S_n+1)/(n+2). Derive the bias, variance, and MSE of TnT_n as an estimator of pp. Is TnT_n consistent? Evaluate the bias and MSE at n=10,p=1/2n=10,p=1/2.

Reveal answer or reference solution

Since E[Sn]=npE[S_n]=np and Var⁡(Sn)=np(1−p)\operatorname{Var}(S_n)=np(1-p),

Bias⁡(Tn)=np+1n+2−p=1−2pn+2,\operatorname{Bias}(T_n)=\frac{np+1}{n+2}-p=\frac{1-2p}{n+2}, Var⁡(Tn)=np(1−p)(n+2)2,\operatorname{Var}(T_n)=\frac{np(1-p)}{(n+2)^2},

and

MSE⁡(Tn)=np(1−p)+(1−2p)2(n+2)2\operatorname{MSE}(T_n)=\frac{np(1-p)+(1-2p)^2}{(n+2)^2}

Both bias and variance tend to zero, so TnT_n is consistent. At n=10,p=1/2n=10,p=1/2, the bias is 00 and the MSE is 10(1/4)/122=5/28810(1/4)/12^2=5/288.

Outcome

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