variance of nonparametric estimator of mean I'm having some trouble with understanding how to calculate the variance of a non-parametric estimator.
The example comes from Wasserman's "All of statistics book"

Let $X_1, \ldots,X_n \sim \text{Uniform}(a,b)$ where $a$ and $b$ are unknown parameters and $a \lt b$.
Let $\tau = \int x dF(x)$. Let $\hat{\tau}$ be the maximum likelihood estimator (MLE) of $\tau$. Let $\tilde{\tau}$ be the nonparametric plug-in estimator of $\tau = \int{xdF(x)}$.
Suppose that $a=1$, $b=2$, and $n=10$. Find the mean-square-error (MSE) of $\hat{\tau}$ by simulation. Find the MSE of $\tilde{\tau}$ analytically. Compare

So I believe the MLE of $\tau$ is $\hat{\tau} = \frac{\hat{a}+\hat{b}}{2}$ where $\hat{a} = min(X_i)$ and $\hat{b} = max(X_i)$ for $i \in\{1,\ldots,n\}$ are the ML-estimators of the parameters since:
$$\hat{\tau} = \int_\hat{a}^\hat{b}{\frac{x}{\hat{b}-\hat{a}}} = \frac{\hat{a}+\hat{b}}{2}$$
(I believe I used the correct notation here, but PLEASE let me know if I am not)
Using this equation, you can simulate $N$ datasets of $X_1,\ldots,X_{10} \sim \text{Uniform}(a,b)$ (since $n=10$) and calculate the MSE using the formula:
$$\text{MSE}_{\hat{\tau}} = \frac{1}{N-1}\sum_{j=0}^N{(\hat{\tau}_j - \bar{\hat{\tau}})^2}$$
where $\hat{\tau}_j = \frac{a_j+b_j}{2}$, $a_j = min(X_{ij})$, $b_j = max(X_{ij})$ for independent simulation $j$ of 10 datapoints drawn from $\text{Uniform}(1,3)$. $\bar{\hat{\tau}}$ is the mean of all the estimates of tau from the simulations.
Performing this simulation, you get the following distribution of MSE of $\hat{\tau}$:
import numpy as np
import matplotlib.pyplot as plt
MSE = lambda x: np.sum([np.power(_-np.mean(x),2) for _ in x])/float(len(x)-1)
plt.hist([MSE([tau(np.random.uniform(1,3,10)) for _ in range(10)]) for __ in range(1000)],bins=50)
plt.title('MSE of tau by simulation')

$\hat{\tau}$" />
The mean of the MSEs by MLE is ~0.015
Now, the non-parametric portion of the question is getting me a bit confused, and this is where I'm more unsure if I'm using the correct notation.
I believe that the non-parametric plug-in estimator of $\tau$ is:
$$\tilde{\tau} = \int{xd\tilde{F}(x)} = \frac{1}{N}\sum_{i=1}^N{X_i}$$
Now, to get the MSE of $\tilde{\tau}$, I imagine you'd want to find the variance:
$$V[\tilde{\tau}] = 
V\left[\int{xd\tilde{F}(x)}\right] = 
V\left[\frac{1}{N}\sum_{i=1}^N{X_i}\right] = 
\frac{V[X_i]}{N} = 
\frac{\sum_{i=0}^N{(X_i - \frac{1}{N}\sum_{i=1}^N{X_i})^2}}{N(N-1)} = 
\frac{\sum_{i=0}^N{(X_i - \bar{X_N})^2}}{N(N-1)}$$
Or using the information that $a=1$, $b=3$, and $N=10$ the MSE is $$\frac{V[X_i]}{N} = 
\frac{(3-1)^2}{12 N} = 
\frac{4}{120} = 
0.0333\ldots$$
Is this method correct? Am I missing some key understanding here?
 A: First of all, the estimator $\text{MSE}_{\hat{\tau}}$ you have given is a consistent estimator of the MSE only if $\text{Bias}(\widehat{\tau},\tau)=0$. To see this, recall that
\begin{equation}
\text{MSE}_{\tau}(\hat{\tau})=\mathbb{E}_{\tau}\left[(\hat{\tau}-\tau)^2\right]=\text{Var}_{\tau}(\hat{\tau})+\text{Bias}(\widehat{\tau},\tau)^2 
\end{equation}
Thus using $\tau=\mathbb{E}(X_1)=\frac{a+b}{2}=2$ you might obtain a consistent estimator of
$\text{MSE}_{\tau}(\hat{\tau})$ as follows:
\begin{align}
\widehat{\text{MSE}}_{\tau}(\hat{\tau})&=\frac{1}{N}\sum_{j=1}^{N}(\widehat{\tau}_{j}-\tau)^2\\
&=\frac{1}{N}\sum_{j=1}^{N}(\widehat{\tau}_{j}-2)^2,
\end{align}
where $N$ corresponds to the number of simulation runs.
In the specific case at hand, both estimators are unbiased. Thus, your estimator $\text{MSE}_{\hat{\tau}}$ would consistently estimate the MSE's of $\tilde{\tau}$ and $\hat{\tau}$. First consider $\tilde{\tau}=\bar{X}=\frac{1}{n}\sum_{i=1}^{n}X_i$. We have
\begin{align}
\mathbb{E}(\bar{X})&=\frac{1}{n}\sum_{i=1}^{n}\mathbb{E}(X_i)=\mathbb{E}(X_1)=2\qquad\text{and}\\
\text{Var}(\bar{X})&=\frac{1}{n^2}\sum_{i=1}^{n}\text{Var}(X_i)=\frac{1}{n}=\frac{(b-a)^2}{12}\frac{1}{n}=\frac{1}{30}
\end{align}
the same you computed above. Note that I've assumed $X_1,\ldots,X_n$ to be independent since the exercise says nothing about their dependence structure.
For $\hat{\tau}$, we need to know $\mathbb{E}(\hat{a})$ and $\mathbb{E}(\hat{b})$. See this question on how to compute $\mathbb{E}(\hat{a})$ and this for both formulas. We obtain
\begin{equation}
\mathbb{E}(\hat{\tau})=\frac{1}{2}\left(\mathbb{E}(\hat{a})+\mathbb{E}(\hat{b})\right)=\frac{1}{2}\left(\frac{b+na}{n+1}+\frac{a+bn}{n+1}\right)=\frac{1}{2}(a+b)=\tau,
\end{equation}
thus establishing unbiasedness. 
Since the computation of $\text{Var}(\hat{\tau})$ is more involved, we resort to a simulation study. 
#set seed for reproducibility
set.seed(124)
sim <- function(a,b,n,N){
  a <- a
  b <- b
  tau <- (1/2)*(a+b)
  tauhat <- rep(0,N)
  tautilde <- rep(0,N)

  for(j in seq_along(tauhat)){
    samp <- runif(n,min=a,max=b)
    tauhat[j] <- (min(samp)+max(samp))/2
    tautilde[j] <- mean(samp)
  }

  MSEtauhat <- (1/N)*sum((tauhat-tau)^2)
  MSEtautilde <- (1/N)*sum((tautilde-tau)^2)
  vartautilde <-  (1/(N-1))*sum((tautilde-mean(tautilde))^2)
  vartauhat <- (1/(N-1))*sum((tauhat-mean(tauhat))^2)
  results <- list(MSEhat=MSEtauhat,Esthat=tauhat,Varhat=vartauhat,
                  MSEtilde=MSEtautilde,Esttilde=tautilde,Vartilde=vartautilde)
  return(results)
}
res <- sim(1,3,10,10e5)
round(c(res$MSEhat,res$MSEtilde),8)
[1] 0.01516704 0.03331627
round(c(res$Varhat,res$Vartilde),8)
[1] 0.01516705 0.03331624

Obtaining almost the same numbers for $\widehat{\text{Var}}$ and $\widehat{\text{MSE}}$ confirms unbiasedness of both estimators $\hat{\tau}$ and $\tilde{\tau}$.
Furthermore, the MSE of $\tilde{\tau}$ is the smaller one.
