Stat 463

Estimation 3: Ch. 7.5-7.7

7.5. The Exponential Class of Distributions

Hunting for the unique MVUE: Find the function of the
complete and sufficient statistic that is unbiased.
We can easily find a complete sufficient statistic (CSS) if
the pdf (or pmf) of the random variable belongs to a certain
class of pdf (Exponential Class).
Consider {f (x; ) : }, = { : < < }, and
are known,
f (x; ) = exp[p()K(x) + S(x) + q()] , x S,
= 0

elsewhere.

Def 7.5.1. Regular Exponential Class

1. S, the support of X, does not depend on
2. p() is a nontrivial continuous function of
3. If X is continuous;
K 0(x) 6= 0 and S(x) is a continuous function of x S.
If X is discrete;
K(x) is a nontrivial function of x S.

Stat 463

Estimation 3: Ch. 7.5-7.7

Joint pdf of a random sample X1, , Xn from pdf of

regular exponential class.
f (x1, , xn; )

= exp p()

= exp p()

n
X
i=1
n
X

K(xi) +

n
X
i=1

S(xi) + nq()

K(xi) + nq() exp

n
X

S(xi)

i=1

i=1

Them 7.5.1. Let X1, , Xn denote a random sample

from a distribution from a distribution that represents a regular case of the exponential class. Consider the statistic
P
Y1 = n
i=1 K(xi). Then
1. The pdf or pmf of Y1 is
fY1 (y1; ) = R(y1) exp[p()y1 + nq()] y1 SY1 ,
where R(y1) and SY1 are free from .
q 0()
2. E(Y1) = n 0
.
p ()
1
00 ()q 0 () q 00 ()p0 ()} .
{p
3. V ar(Y1) = n 0
p ()3
1

Stat 463

Estimation 3: Ch. 7.5-7.7

Ex (B7.5.1) X P oisson().

Them 7.5.2. Assume the assumptions of Theorem 7.5.1.

P
hold. Then Y1 = n
i=1 K(xi) is a complete sufficient
statistic.
iid

Ex (B7.5.2.) X1, , Xn N (, 2), 2 is known.

Ex (B7.5.3.)

Stat 463

Estimation 3: Ch. 7.5-7.7

Ex (P7.5.1.)

Ex (B7.5.6.)

Stat 463

Estimation 3: Ch. 7.5-7.7

7.6 Functions of a parameter

Want to find the unique MVUE of a function of a parameter
Example (B7.6.1.) X1, , Xn b(1, ) , 0 < < 1.
P
Find the unique MVUE of the variance of n1 n
i=1 Xi

Example (B7.6.2.) X1, , Xn N (, 1). Find the

unique MVUE of P r(X c) = (c ).

Stat 463

Estimation 3: Ch. 7.5-7.7

iid

Ex (P7.6.7.) X1, , Xn Exponential(). Find the

MVUE of P (X 2).

iid

Ex (P7.6.8.) X1, , Xn Exponential().

Stat 463

Estimation 3: Ch. 7.5-7.7

7.7. The Case of Several Parameters

What if we have more than one parameter ? What happens to CSS ?
iid

Def 7.7.1. Jointly Sufficient Statistics: X1, , Xn

f (x; ), where = (1, , p) . Let S be a support
of X. Let Y = (Y1, , Ym)0, where Yi = ui(X1, , Xn),
for i = 1, , m. Denote the pdf (or pmf) of Y by fY (y; ).
Y is jointly sufficient for iff
f (x1; ) f (xn; )
= H(x1, , xn),
fY (y; )
where H(x1, , xn) does not depend on .

Factorization Theorem: Y = (Y1, , Ym)0 is called a

jointly sufficient statistic for 1 iff
f (x1; ) f (xn; ) = k1[y; ]k2(x1, , xn) ,
where k2(x1, , xn) does not depend on .

Stat 463

Estimation 3: Ch. 7.5-7.7

iid

Ex (B7.7.1.) X1, , Xn f (x; 1, 2), where

f (x; 1, 2) =

1
, 1 2 < x < 1 + 2
22

< 1 < , 0 < 2 <

A complete family A family of pdfs {f (v1, , vk ; ) :

} is called a complete family iff, for any function u of
v1, , vk ,
E[u(V1, , Vk )] = 0
implies
u(v1, , vk ) = 0 , for all
7

Stat 463

Estimation 3: Ch. 7.5-7.7

Def 7.7.2. Regular Exponential Class

iid

X1, , Xn f (x; ), where

f (x; ) = exp

" m
X

pj ( )Kj (x)

j=1

+ S(x) + q(1, , m) , S ,
where S = {a < x <} for continuous and S = {a1, a2, }
for discrete random variables. Then this pdf (or pmf) is
said to be a member of a regular exponential class if
1. the support S does not depend on any or all of parameters
1, , m.
2. the space contains a nonempty, m-dimensional open
rectangle
3. pj (1, , m) are continuous functions of j ,
4. If X is continuous;
Kj0 (x) are continuous and
S(x) is a continuous function of x S.
If X is discrete;
Kj (x) is a nontrivial function of x S.

Joint CSS: Y1 =

n
X

K1(Xi), , Ym =

i=1

n
X
i=1

Km(Xi)

Stat 463

Estimation 3: Ch. 7.5-7.7

iid

Ex (B7.7.2) X1 , Xn N (1, 2).

Ex (P7.7.4) No Kj0 (x) be a linear homogeneous function

of others.

Stat 463

Estimation 3: Ch. 7.5-7.7

iid

Ex (P7.7.6) X1 , Xn f (x : 1, 2), where

f (x : 1, 2) =

1
, 1 2 < x < 1 + 2 .
22

10