Paper 1, Section I, H

Statistics
Part IB, 2021

Let X1,,XnX_{1}, \ldots, X_{n} be i.i.d. Bernoulli (p)(p) random variables, where n3n \geqslant 3 and p(0,1)p \in(0,1) is unknown.

(a) What does it mean for a statistic TT to be sufficient for pp ? Find such a sufficient statistic TT.

(b) State and prove the Rao-Blackwell theorem.

(c) By considering the estimator X1X2X_{1} X_{2} of p2p^{2}, find an unbiased estimator of p2p^{2} that is a function of the statistic TT found in part (a), and has variance strictly smaller than that of X1X2X_{1} X_{2}.