[Math] How to show this estimator of variance is biased

expectationprobabilitystatistics

It is known that the sample variance is an unbiased estimator:

$$s^2 = \frac 1{n-1} \sum_{i=1}^n (X_i – \bar X)^2$$

I would like show that $\sigma '^2 = (X_1 – X_2)^2 $ is a biased estimator.

My work:

$$E((X_1 – X_2)^2)= E(X_1^2) – 2E(X_1 X_2) + E(X_2^2)$$

I wasn't taught of how to specifically simplify these kinds of expression, but I suspect that $E(X_1^2)=E(X_2^2)$ since it's symmetrical.

I don't have any further ideas about how to show that the expected value is not the population variance. Please give me some hints to work on it. Thanks.

Best Answer

It is unbiased if $\mathsf{E}(\hat{\sigma}^2)=\sigma^2$.

$$ \begin{align} \mathsf{E}(\hat{\sigma}^2)=\mathsf{E}((X_1-X_2)^2)&=\mathsf{E}(X_1^2)+\mathsf{E}(X_2^2)-2\mathsf{E}(X_1X_2)\\ &=2(\sigma^2+\mu^2)-2\mu^2\\ &=2\sigma^2\neq\sigma^2 \end{align}$$