Is joint parameter estimation always strictly better than individual parameter estimation?
February 20, 2012 2:09 PM Subscribe
Is it true that it is always better to estimate parameters jointly, even when they are completely unrelated?
posted by TheyCallItPeace to science & nature (3 answers total) 1 user marked this as a favorite
I vaguely recall reading about a result in statistics which stated something along the lines of "the joint estimation of two parameters always performs better (i.e. smaller variance) than the separate estimation of each parameter, even if the parameters are completely unrelated".
Is this statement, or some modification of it, true? If so, is there an intuitive explanation? Can anyone point me to a reference?