CHAPTER? © Ergodicity, Statistis, Estimation, and Simulation Definition 7.10. If isan estimator computed using N samples, N= 1, then Oy is said to be a consistent estimator if lim PL|6s ~ 8 74.26) for every € > 0. Ifthe above probability tends to zero as the number of samples N, approaches infinity for every € > 0, then we say the estimator is asymptot cally consistent or more simply consistent, Equation [74.2.6] is often called com vergence in probability Example 7.15] The sample mean isa consistent estimator Quiz 7.6 Is the single point estimator of the mean consistent? Example 7.16] we can ise [7.4.25] to determine the sumer of samples N such that jx i within a spes ero, ofp with probability Ne as follows. Suppose we make measurements ofa random variable that has a variance o many measurements mst we make iF we wan the probability tobe 0.9 and the sample m= te-within e= 1/2 of the tue mean? This equtes that 1-Xeo9 seo which becomes = =09 NG) so that N=80 measurements are required It often turns out that when we attempt to reduce the bias of an estimator its var ance will increase or the opposite may occur. As a consequence it has been found usefil to minimize the mean square error. Definition 7.11. An estimator @ is said to be a minimum mean square error e= timator if H(@ - 8)) = EL, - oY] vam where @, is any other estimator: Tt-can be shown that the mean square error is (@- 6)"] = vaRI6} + Quiz7.7 Wh Definition bins is zero mator. One estimator fo One of the Probie and the bias of th hile the variance Thus, when ever, note that thes sinimize the mea sithrespect tok. 7 sich is slightly I Azandom varizble} Fed the expocted Sex = Oand is ze Bese by [7.4.22] Fe this probiem N: Elli)