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Rao-Blackwell builds an unbiased estimate of p squared

You flip a coin with unknown head probability pp, collecting i.i.d. outcomes X1,,XnX_1, \dots, X_n (each 11 for heads, 00 for tails). You want to estimate p2p^2, the probability that two specific flips both come up heads. A crude unbiased estimator is T=X1X2T = X_1 X_2, since E[X1X2]=pp=p2\mathbb{E}[X_1 X_2] = p\cdot p = p^2 by independence.

Rao-Blackwellize TT by conditioning on the sufficient statistic S=iXiS = \sum_i X_i, and give the resulting unbiased estimator of p2p^2.

Your answer

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

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