Statistics

Unbiased Estimator

An estimator whose expected value equals the true parameter.

Unbiasedness is not obviously desirable, which is the point worth making in an interview.

A biased estimator with much lower variance often has smaller mean squared error, and MSE = bias squared + variance is usually what you actually care about. Regularisation deliberately introduces bias for exactly this reason.

The standard example. Sample variance divides by n-1 to be unbiased. But the sample standard deviation - its square root - is still biased, because the square root is a nonlinear function and expectation does not pass through it. That catches almost everyone.

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