[Math] UMVUE of $\lambda$ in $\operatorname{Exp}(\lambda)$ distribution

parameter estimationstatistical-inferencestatistics

Suppose $(X_1,…,X_n)$ is a sample from a $Exp(\lambda)$ population. Try to find an UMVUE of $\lambda$. Remember $S = \sum_{i=1}^n X_i$ is both complete and sufficient for the Exponential Family.

I'm trying to use the Lehmann-Scheffé theorem, but I can't manage to get it done easily. I also tried to use Laplace-inverse transforms but all I get is a Dirac Delta function from WolframMathematica.

Best Answer

Well, if you find a statistic $T=t(S)$ that is a function of $S=\sum_{i=1}^{n} X_i$ and which is an unbiased estimator of $\lambda$, you've got your UMVUE by Lehmann-Scheffe.

For $T$ to be an unbiased estimator we want: $E[(t(S))]=\lambda$, of course we know that for a $X\tilde{} exp(\lambda)$ we already have $E[X]=\lambda$ and in general $E[\bar X]=E[X]$.

So, we see that $\bar X$ is an unbiased estimator of $\lambda$ and because $\bar X$ is an one-to-one function of $S$ (by $\bar X=S/n$), we're done.