Topics: Statistics - Sample Statistic


An estimator is a sample statistic that aims to estimate a given parameter of the random sample at hand.

More formally, given a random variable and its corresponding random sample characterised by a parameter , an estimator is a function that returns an approximation of .


Of course, not all estimators for a same parameter are the same.

For instance, there can be unbiased, asymptotically unbiased, efficient, consistent and uniformly minimum-variance unbiased (UMVUE) estimators, to name just a few.

We generally prefer unbiased, efficient and minimum-variance estimators, since they tend to give a better approximation to the actual value of the parameter.