Definition of Estimators: An estimator is a function of data that produces an estimate for an unknown parameter of the distribution that produced the data.

The way estimators are often discussed, they can be thought of as chosen before the data are seen. This can be hard to understand for the person new to the term. Properties of estimators (such as unbiasedness in finite samples, asymptotic unbiasedness, efficiency, and consistency) are discussed without considering any particular sample, by making assumptions about the distribution of the data, and considering the estimator in the context of the distributions. (Econterms)

Terms related to Estimators:

• Strictly stationary