Stat 463

Estimation 4: Ch. 7.8-7.9

7.8. Minimal Sufficiency and Ancillary Statistics

iid

Ex: Let X1, , Xn N (, 1). Y1 < Y2 < , < Yn.

Sufficient Statistics for :
1. {u1(X1, , Xn) = X1, , un(X1, , Xn) = Xn}
2. {u1(X1, , Xn) = Y1, , un(X1, , Xn) = Yn}
P
3. {u(X1, , Xn) = n
i=1 Xi }

4. {u(X1, , Xn) = X}
Which sufficient statistics are you prefer ?
Minimal Sufficient Statistics: Sufficient statistics
{u1(X1, , Xn), , um(X1, , Xn)} is called minimal if they are jointly sufficient for the parameters and are
functions of every other set of sufficient statistics.
Pn
i=1 Xi

X
(X1, , Xn)
0

Stat 463

Estimation 4: Ch. 7.8-7.9

iid

Ex: Let X1, , Xn N (1, 2). Minimal Sufficient

Statistics ?

Most of times, the number of parameters = the number of

minimal sufficient statistics. But Not always true.
iid

Ex (B7.8.1., 2.) X1, , Xn f (x; ), where

f (x; ) =

1
, 1<x<+1 , < <
2

Is this a member of the regular exponential class ?

(Minimal) Sufficient statistics ?
Maximum likelihood estimator for ?
Is the m.l.e. a minimal sufficient statistic ?
CSS = Minimal Sufficient: Almost Always. [Lehmann

and Scheffe(1950)]
1

Stat 463

Estimation 4: Ch. 7.8-7.9

Ancillary Statistic: A statistic u(X1, , Xn) whose distribution does not depend on the parameter(s) is called an
ancillary statistic.
Examples:
1. S 2 = n1

Pn
2 , X , , X iid

(X

X)
n N (, 1).
1
i
i=1
iid

2. Z = X1/(X1 + X2), X1, X2 Gamma(, ), is

known.
Location Family

: Location Parameter.

{f (x ) : < < }
Scale Family

: Scale Parameter.
{(1/)f (x/) : > 0}

Location & Scale Family

{(1/2)f [(x 1)/2] : < 1 < , 2 > 0}
1: Location Parameter, 2: Scale Parameter
2

Stat 463

Estimation 4: Ch. 7.8-7.9

Location Invariant Statistic:

iid
X1, , Xn pdf(or pmf) in Location Family.
Z = u(X1, , Xn) is a location invariant statistic, that
is,
u(x1 + d, , xn + d) = u(x1, , xn)
Then, Z is an ancillary statistic.
Scale Invariant Statistic:
iid
X1, , Xn pdf(or pmf) in Scale Family.
Z = u(X1, , Xn) is a scale invariant statistic, that is,
u(cx1, , cxn) = u(x1, , xn)
Then, Z is an ancillary statistic.
Location-Scale Invariant Statistic:
iid
X1, , Xn pdf(or pmf) in Location & Scale Family.
Z = u(X1, , Xn) is a location-scale invariant statistic,
that is,
u(cx1 + d, , cxn + d) = u(x1, , xn)
Then, Z is an ancillary statistic.

Stat 463

Estimation 4: Ch. 7.8-7.9

Examples:
1. Location Invariant Statistic: Sample Variance, Sample
Range

2. Scale Invariant Statistic:

P 2
2
X1 / Xi , min(Xi)/ max(Xi)

3. Location-Scale Invariant Statistic: [max(Xi)min(Xi)]/S,

(Xi X)/S

Stat 463

Estimation 4: Ch. 7.8-7.9

iid

Ex (P7.8.1) (b) X1, , Xn P oisson()

iid

(e) X1, , Xn N (0, )

iid

Ex (P7.8.2) X1, , Xn f (x; ), Y1 < < Yn.

f (x; ) =

1
, <x<
2

Stat 463

Estimation 4: Ch. 7.8-7.9

7.9. Sufficiency, Completeness and Independence

iid

Them 7.9.1: Basu X1, , Xn f (x : ), and

is an interval. Let Y1 = u1(X1, , Xn) be a complete sufficient statistic with a pdf(or pmf) g1(y1 : ) and
Z = u(X1, , Xn) be an any statistic (not a function of
Y only). Then Y1 and Z are independent if and only if Z
is an ancillary statistic.

iid
and S 2 are
Ex (B7.9.1.) X1, , Xn N (, 2). X
independent.

Stat 463

Estimation 4: Ch. 7.8-7.9

iid

Ex (B7.9.2.) X1, , Xn f (x : ) = exp[(x )],

< x < .

iid

Ex (B7.9.4.) X1, , Xn N (1, 2).

Ex (B7.9.5.) Sufficient but Not Complete