From Nuno in /m11: "I have a question about problem 2.1. I have estimated the parameter theta which gives me directly the expectation of e^(-theta) but not necessarily its variance. Can the variance of e^(-theta) also be expressed as a function of the variance of theta or do we have to estimate it directly?"


This question is not phrased right because e^(-theta) is not a random variable, so it does not have an expectation.

An important fact to note: Suppose g(x) is an unbiased estimator of theta. Usually f(g(x)) is *not* an unbiased estimator of f(theta).