In my previous post, I talked about the German Tank Problem. And while discussing the frequentist approach, I defined the “unbiased” estimator. But seriously, unbiased estimators are really weird. Let me show you an example, in the form of a Monty-Hall-like problem.

Suppose that I’ve set up three closed doors A, B, and C, each with a prize behind it. Two of them have $1000, and one has $2000. Doors A and B don’t really matter, your prize is behind door C. How much is this prize worth to you? But before you answer, please, look behind one of the other doors, A or B.