Suppose that Y1 ,..., Yn are independent and identically distributed Exp(θ) random variables
Let X1 ≡ Y1 + ... + Yn Use moment generating functions to show that X1 has a Gamma( n,θ ) distribution.
Let X2 ≡ mine (Y1,...,Yn) Show that X2 has an Exp(θ/n) distribution
Verify that theta hat ≡ X1/n is an unbiased estimator for theta
Verify that theta hat ≡ nX2 is an unbiased estimator for theta
Which estimator theta hat 1 or theta hat 2 is preferred estimation of theta