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P. 1

Statistical InferenceRatings:

5.0

(1)|Views: 1,047|Likes: 21Published by Sangkar Roy

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https://www.scribd.com/doc/22593281/Statistical-Inference

07/09/2013

Estimation ~ 1 of 22

STATISTICAL INFERENCECLASS NOTESANGKAR ROYJAHANGIRNAGAR UNIVERSITY,BANGLADESH.EMAIL:

sankar1604@gmail.com

Estimation ~ 2 of 22

Estimation

Sufficient Statistic:

Let

12

,,,

n

X 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 X

=

is defined to be a sufficient statistic if and only if theconditional distribution of

12

,,,

n

X X X

given T=t does not depend on

θ

for any value

t

of

T

.

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 X

be a random sample from the density

( )

;

f

θ

⋅

. A statistic

( )

12

,,,

n

T t X X X

=

is defined to be a sufficient statistic if and only if the conditional distribution of

S

given

T

does not depend on

θ

for any statistic

( )

12

,,,

n

S s X 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 X

′ ′=

is not sufficient, one needs only to find another statistic

( )

12

,,,

n

T t X X X

=

for which the conditional distribution of

T

given

T

′

depends on

θ

.

Jointly Sufficient Statistics:

Let

12

,,,

n

X X X

be a random sample form the density

( )

;

f

θ

⋅

. Thestatistics

1

,,

r

T T

are defined to be jointly sufficient if and only if the conditional distribution of

12

,,,

n

X X X

given

11

,,

r r

T 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

Ω

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 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 X

be a sample of size

3

from the Bernoulli distribution. Consider the two statistics

( )

123123

,,

S s X X X X X X

= = + +

and

( )

123123

,,

T t X X X X X X

= = +

. We have to show that

( )

,,

s

⋅ ⋅ ⋅

issufficient and

( )

,,

t

⋅ ⋅ ⋅

is not.Values of

S

Values of

T

( )

123

,,|

f x x x S

( )

123

,,|

f x x x T

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 T

P X X X T and f P T 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

T

depends on

p

; so

T

isnot sufficient.

Factorization Theorem (Single Sufficient Statistic):

Let

12

,,,

n

X 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 X

=

issufficient if and only if the joint density of

12

,,,

n

X 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

( )

,,

t

⋅ ⋅

.

( )

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

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