Divide by n, n minus 1, or n plus 1?
Asked at DE Shaw
For i.i.d. draws from , consider estimating by . Three common choices of : (unbiased), (the MLE), and a mystery third option.
Which divisor minimizes the mean squared error of ? Rank the three.
Show a hint
Let . Then , so and . Write MSE as variance plus squared bias and minimize over .