  We study the optimal way to estimate the quantum expectation value of a
physical observable when a finite number of copies of a quantum pure state are
presented. The optimal estimation is determined by minimizing the squared error
averaged over all pure states distributed in a unitary invariant way. We find
that the optimal estimation is "biased", though the optimal measurement is
given by successive projective measurements of the observable. The optimal
estimate is not the sample average of observed data, but the arithmetic average
of observed and "default nonobserved" data, with the latter consisting of all
eigenvalues of the observable.
