U is a random variable that follows Uniform distribution with

lasquiyas5loaa

lasquiyas5loaa

Answered question

2022-04-07

U is a random variable that follows Uniform distribution with interval (0,1). X1,...,Xn follows Bernoulli distribution with mean U. How do I find the function f:(0,1)n->R that minimizes E[(U-f(X1,...,Xn))2)] ? I have no idea where to start solving. Thank you in advance.

Answer & Explanation

budd99055uruey

budd99055uruey

Beginner2022-04-08Added 16 answers

The X i follow a Bernoulli distribution with mean U. This means that the success probability of each X i is U. Additionally we know that 0 E [ ( U f ) 2 ] = E [ U 2 ] 2 E [ U f ] + E [ f 2 ].
First we find E[U^2]. The moment generating function for U is M U ( t ) = E [ e t U ] = 0 1 e t u d u = 1 t e t u | 0 1 = e t 1 t . Then
E [ U 2 ] = ( d 2 d t 2 M U ( t ) ) | t = 0 = lim t 0 e t ( t 2 2 t + 2 ) 2 t 3 = lim t 0 e t ( t 2 2 t + 2 ) + e t ( 2 t 2 ) 3 t 2 = lim t 0 e t 3 = 1 3 .
We could've also done this by finding the pdf of U 2 . This would be done by noticing that F U 2 ( u ) = P ( U 2 u ) = P ( 0 U u ) = u so f U 2 ( u ) = 1 2 u and then taking the expectation as usual.
I'm not certain about the rest yet...

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