I am having a hard time trying to solve this problem. I don't know how to start it. Any help would be greatly appreciated.
Let T be any unbiased estimator of $\tau(\theta),$ and let $W$ be a sufficient statistic for theta. Define $\phi(W)=E[T|W]$. Show that $\phi(W)$ is an unbiased estimator of $\tau(\theta),$ and $\mathrm{Var}(T)=\mathrm{Var}\left(\phi(W)\right) + E\left[\mathrm{Var}(T|W)\right]$.
The only thing I know is that this may be a part of the Rao-Blackwell Thm.