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Suppose we have the following random variables $X_1$, $X_2$,....$X_n$,.., that are $iid$ but we dont know what distribution they follow.

I know that the sample mean $\bar{X}$ is an unbiased estimator of the population mean. But, how can i prove that the square of the sample mean is an biased (or maybe unbiased) estimator of the variance?

My particular doubt is how to continue this:

$E[\bar{X}^2] = E[(\frac{\sum_{i=1}^nX_i}{n})^2] = E[\frac{\sum_{i=1}^nX_i}{n} \times\frac{\sum_{i=1}^nX_i}{n}] = \frac{1}{n^2} E[\sum_{i=1}^nX_i \times \sum_{i=1}^nX_i] = .....$

I think the estimator is biased, but i want to confirm it...

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You have $X_1, X_2, \dots, X_n$ are iid from an unknown distribution with mean (say) $\mu$ and variance (say) $\sigma^2$.

$\bar{X}$ is an unbiased estimator of the mean, and thus $E(\bar{X}) = \mu$. Also, $Var(\bar{X}) = \sigma^2/n$. Thus since, \begin{align*} E[\bar{X}^2] & = Var(\bar{X}) + E[\bar{X}]^2\\ & = \dfrac{\sigma^2}{n} + \mu^2. \end{align*}

You can now figure out what the bias is. Clearly, $\bar{X}^2$ is a horrible estimator for $\sigma^2$. As wolfies pointed you, you will do better with $n\bar{X}^2$.

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Do you actually mean something like "$\frac{1}{n-1} \sum_i \left(x_i - \bar{x} \right)^2$, where $\bar{x}$ is the sample mean, is an unbiased estimator of the population variance?" Or perhaps, "Is $\frac{1}{n} \sum_i x_i^2 - \bar{x}^2$ an unbiased estimator of the population variance?"

Trivial counterexample for what you literally asked:

It's trivial to show that the square of the sample mean is neither a consistent nor unbiased estimator in the general case.

Assume $X_i = 2$ for all i:

  • The sample mean is 2, no matter what.
  • The population variance is 0.
  • The sample mean squared is 4.
  • $ 4 \neq 0$

I'd bet though this isn't what the homework is asking for. (Assuming this is homework.)

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Here is a solution using the 'Moment of Moment' functions in the mathStatica package for Mathematica. In particular, let $s_1$ denote the sample sum, i.e. $s_1 = \sum_{i=1}^nX_i$. Then, you seek

$$E\big[{\big(\frac{s_1}{n}\big)}^2\big]$$

which is the $1^{\text{st}}$ Raw Moment of $(\frac{s_1}{n})^2$, expressed here in terms of Central moments:

enter image description here

where $\mu_2$ denotes the $2^{\text{nd}}$ central moment of the population (i.e. the population variance). Plainly, this is a biased estimator of population variance.

Perhaps what you intended was $E\big[n {\big(\frac{s_1}{n}\big)}^2\big]$:

enter image description here

which will be an unbiased estimator of population variance, if the population mean is zero.

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