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Rao-Blackwellizing a crude guess for a uniform ceiling

You have i.i.d. observations X1,,XnX_1, \dots, X_n from Uniform(0,θ)(0, \theta) with unknown ceiling θ\theta. A crude unbiased estimator uses only the first observation: T=2X1T = 2X_1, which works because E[2X1]=2(θ/2)=θ\mathbb{E}[2X_1] = 2\cdot(\theta/2) = \theta.

Rao-Blackwellize TT by conditioning on the sufficient statistic S=X(n)=maxiXiS = X_{(n)} = \max_i X_i, and identify the improved estimator.

Your answer

This one is open-ended. Work it through, then check your reasoning against the full solution.

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