Efficiency of an estimator

Summary

The efficiency of an unbiased estimator measures how close its variance comes to the smallest possible variance, the Cramér–Rao lower bound. An estimator whose variance attains the bound is called efficient. The relative efficiency of two estimators is the ratio of their variances. It tells how many more observations the worse estimator needs to match the better one. Asymptotic versions compare the variances of the limit distributions as the sample size grows.