MVUE for the mean with one observation: normal with same mean and variance

Citation
Mukhopadhyay, Nitis, MVUE for the mean with one observation: normal with same mean and variance, American statistician , 60(1), 2006, pp. 71-74
Journal title
ISSN journal
00031305
Volume
60
Issue
1
Year of publication
2006
Pages
71 - 74
Database
ACNP
SICI code
Abstract
Based on one observation X from a N(., .) distribution where .(> 0) is an unknown parameter, this article provides an exact expression of the minimum variance unbiased estimator of . based on the complete and sufficient statistic |X|. Even though N(., .) belongs to a one-parameter exponential family, I discuss some small surprises and intricacies that are worth noting.