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Statistical Inference

Statistical Inference

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Published by Sangkar Roy

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Published by: Sangkar Roy on Nov 16, 2009
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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
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

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