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Statistical Inference

# Statistical Inference

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07/09/2013

Estimation ~ 1 of 22
sankar1604@gmail.com

Estimation ~ 2 of 22
Estimation
Sufficient Statistic:
Let
12
,,,
n
X X
be a random sample from the density
( )
;
f
θ
, where
θ
may be a vector. A statistic
( )
12
,,,
n
T t X X
=
is defined to be a sufficient statistic if and only if theconditional distribution of
12
,,,
n
X X
given T=t does not depend on
θ
for any value
of
.
Note:
This definition of a sufficient statistic is not very workable. First, it does not tell us whichstatistic is likely to be sufficient and second, it requires us to derive a conditional distribution whichmay not be easy, especially for continuous random variables. For this reason we may useFactorization Criterion that may aid us in finding sufficient statistics.
Another Definition:
Let
12
,,,
n
X X
be a random sample from the density
( )
;
f
θ
. A statistic
( )
12
,,,
n
T t X X
=
is defined to be a sufficient statistic if and only if the conditional distribution of
S
given
does not depend on
θ
for any statistic
( )
12
,,,
n
S s X X
=
.
Note:
This definition is particularly useful in showing that a particular statistic is not sufficient. For instance,to prove that a statistic
( )
12
,,,
n
T t X X
=
is not sufficient, one needs only to find another statistic
( )
12
,,,
n
T t X X
=
for which the conditional distribution of
given
depends on
θ
.
Jointly Sufficient Statistics:
Let
12
,,,
n
X X
be a random sample form the density
( )
;
f
θ
. Thestatistics
1
,,
T
are defined to be jointly sufficient if and only if the conditional distribution of
12
,,,
n
X X
given
11
,,
r
T t T
= =
does not depend on
θ
.
Concept of Sufficient Statistic:
A sufficient statistic is a particular kind of statistic. It is a statistic thatcondenses
is such a way that no “information about
θ
” is lost. The only information about the parameter
θ
in the density
( )
;
f
θ
from which we sampled is contained in the sample
12
,,,
n
X X
; so, when we saythat a statistic loses no information, we mean that it contains all the information about
θ
that is contained inthe sample. We emphasize that the type of information of which we are speaking is that information about
θ
contained in the sample given that we know the form of the density; that is, we know the function
( )
;
f
in
( )
;
f
θ
, and the parameter
θ
is the only unknown. We are not speaking of information in the sample thatmight be useful in checking the validity of out assumption that the density does indeed have form
( )
;
f
.
Example:
Let
123
,,
X X
be a sample of size
3
from the Bernoulli distribution. Consider the two statistics
( )
123123
,,
S s X X X X X
= = + +
and
( )
123123
,,
T t X X X X X
= = +
. We have to show that
( )
,,
s
issufficient and
( )
,,
is not.Values of
S
Values of
( )
123
,,|
f x x x S
( )
123
,,|
f x x x

Estimation ~ 3 of 22
( )
[ ][ ][ ]
( ) ( )( )
123
,,|11231232
Now, we have0,1,0|10;1;0|10;1;0;111113311
x x x S
f P X X X SP X X X SP S p p p p p
=
= = = = == = = ==== =

( )
[ ][ ]
( )( ) ( )
123
123,,|0232
0;1;0;00,1,0|001121121
x x x
P X X X and P  p p p p p p p p p p
=
= = = ====+ = =+ +
The conditional distribution of the sample given the values of
S
is independent of
p
; so
S
is a sufficientstatistic. However, the conditional distribution of the sample given the values of
depends on
p
; so
isnot sufficient.
Factorization Theorem (Single Sufficient Statistic):
Let
12
,,,
n
X X
be a random sample of size
n
from the density
( )
;
f
θ
, where the parameter
θ
may be a vector. A statistic
( )
12
,,,
n
T t X X
=
issufficient if and only if the joint density of
12
,,,
n
X X
, which is
( )
1
;
nii
f x
θ
=
, factors as
{ } ( )
{ }
{ }{ } { }
1
,,1121212
,,;,,,;,,,;,,,
n
x x n n nn
f x x g t x x x h x x xg t h x x x
θ θ θ
= =
where the function
{ }
12
,,,
n
h x x x
is nonnegative and does not involve the parameter
θ
and the function
( )
{ }
12
,,,;
n
g t x x x
θ
is nonnegative and depends on
1
,,
n
x x
only through the function
( )
,,
.
( )
0,0,0
0 0 1
11
p p
+

( )
0,0,1
1 1
13

112
p p
+

( )
0,1,0
1 0
13

1
p p
+

( )
1,0,0
1 0
13

1
p p
+

( )
0,1,1
2 1
13

12
p p
+

( )
1,0,1
2 1
13

12
p p
+

( )
1,1,0
2 1
13

12
p p
+

( )
1,1,1
3 2 1 1

## Activity (26)

Please, would you mind to send the pdf to my email: yenisuarez@yahoo.com. Thanks.