Bias Correction

Bias correction is a statistical technique used to remove the bias of an estimator. An unbiased estimator is such that its expectation is equal to the parameter of interest. Many introductory statistics textbooks discuss the desirability of having an unbiased estimator, although it is quickly pointed out that unbiasedness alone cannot be a good criterion for an estimator. This is usually illustrated by comparing two estimators with the use of a concrete loss function, where it is noted that an unbiased estimator with a large variance may be inferior to a biased estimator with a small variance.