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Pitman efficiency


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A method for comparing two estimators of an unknown population parameter. Suppose that, with a sample of n observations, θ̂ and θ˜ are two estimators of an unknown population parameter, θ. The Pitman efficiency of θ̂ relative to θ˜ is

P(|θ̂θ|<|θ˜θ|).

Subjects: Probability and Statistics.


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