Best linear blend of two estimates
Two independent unbiased estimators of the same quantity have variances and . What weight on the first estimator (and on the second) minimizes the variance of the blend? (to 2 decimals)
Show hints (2)+
- Set the derivative of the blended variance to zero.
- Weight each estimator proportionally to 1/variance.
Answer
Reveal answer →Final answer
0.75
Want the full step-by-step worked solution? It's part of Premium — along with a worked solution for every question in the bank.
Asked at: Jane Street, Two Sigma