An unbiased chance of a quiet minute
Calls arrive at a switchboard; the number of calls in each minute is Poisson with an unknown rate , independently across minutes. Over 5 minutes, a total of 10 calls is observed.
The indicator “minute 1 had no calls” is an unbiased but crude estimator of , the probability of a minute with no calls. Condition it on the total number of calls (Rao-Blackwell) to get the minimum-variance unbiased estimator. What is its value here?
Fractions, decimals with at least 3 significant digits, and expressions such as sqrt(2)/2, e^-1 or pi/4.
Given the total of 5 independent Poisson counts with the same rate, how are the calls spread over the 5 minutes?
Each call lands in minute 1 with probability , independently of the others.
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s Shown after a correct answer. Revealing it first marks the problem as seen, not solved.
Idea. The total count is sufficient for . Conditioning the crude estimator on it averages away the noise, and given the total, the calls are spread over the minutes like balls thrown at random into 5 boxes.
Step 1: given the total. Given , the counts of the 5 minutes are multinomial: each of the calls falls in minute 1 with probability , independently.
Step 2: condition the indicator. By the Rao-Blackwell and Lehmann-Scheffé theorems, is the unbiased estimator of with the smallest variance.
Step 3: the data. With :
Compare. The maximum likelihood estimate plugs in and gives ; it is biased. One can check unbiasedness directly: , using the generating function of the Poisson() total.