Edited by author 01-28-2004 05:23 PM
Andrew asked /m6:

So, precisely, how is the expectation of an estimator defined, given that p is defined over X and the estimator g is defined over X^n? Do we define a p* over (X^n) to be the product of each of the p(x_i)?


Technically, we have a different estimator g_n for each n. And yes, the expectation of g_n is defined using the pdf for (x_1, ..., x_n) which is the n-fold product of p(x_i).

Jay's comment /m9 "I think a preciser definition of p* should be the joint probability of each x of (x_i)" is correct.