Lec3: •êxÚ¿© ÚOþ

Ü•²

2011 c 9 12 F

1 •êx
3ÚOnدK¥, NõÚOíä•{ `û5, é˜a‰Œ2• ÚO . (½¡•©Ù
x), k ÷¿ (J. ùa©Ùx¡••êx. ~„ ©Ù, X ©Ù! ‘©Ù! Poisson
©Ù! K ‘©Ù! •ê©ÙÚGamma ©Ù Ñáuùa©Ùx, ù L¡þw5ˆØƒÓ
©Ù, Ù¢§‚ÑŒ±Ú˜3˜«•Û•2 ˜a¡••êx ª¥. ,Ú?ù«©Ù
x nd, ̇Ø3u*¦/ªþ Ú˜, 3uù«Ú˜84 §‚ 5, ÏdNõÚOn
دK, é•êx¼ ”. )û. !0 •êx ½Â9{ü5Ÿ.

˜!½Â†~f

½  1. F = {f (x, θ) : θ ∈ Θ} ´½Â3 ˜mX þ ©Ùx, Ù¥Θ •ëê˜m.

eÙVǼêf (x, θ) ŒL«¤Xe/ª
k
nX o
f (x, θ) = C(θ) exp Qi (θ)Ti (x) h(x),
i=1

K¡d ©Ùx••ê.©Ùx({¡•êx (Exponential family). Ù¥k•g,ê, C(θ) >

0 ÚQi (θ) (i = 1, 2 · · · , k) Ñ´½Â3ëê˜mΘ þ (Œÿ) ¼ê, h(x) > 0 ÚTi (x) (i =
1, 2, · · · , k) Ñ´½Â3X þ (Œÿ) ¼ê.

•êx ˜‡5Ÿ´x¥ ¤k©Ùäk Ó | 8( G(x) ¡•VǼêp(x) | 8,

eG(x) = {x : p(x) > 0} ). d½ÂŒ„•êx| 8{x : f (x, θ) > 0} = {x : h(x) > 0} †θ Ã
'. ?˜©ÙxeÙ| 8†θ k', Kx¥©ÙØ2äk Ó| 8, Ï 7Ø´•êx.

~1. ©Ùx{N (µ, σ 2 ) : −∞ < µ < ∞, σ 2 > 0}´•êx.

Proof. X = (X1 , · · · , Xn )•l ©ÙN (µ, σ 2 )¥Ä {ü ,X éÜ—Ý•

√ −n n
2
n 1 X o
f (x; µ, σ ) = 2πσ exp − 2 (xi − µ)2 . (1.1)
2σ i=1

Pθ = (µ, σ 2 ), Këê˜m•Θ = {θ = (µ, σ 2 ) : −∞ < µ < +∞, σ 2 > 0}.ò(1.1) U •

√ −n nµ X n n
nµ2 1 X 2o
f (x, θ) = 2πσ e− 2σ2 exp x i − x
σ 2 i=1 2σ 2 i=1 i

1
 = C(θ) exp{Q1 (θ)T1 (x) + Q2 (θ)T2 (x)}h(x), (1.2)
√ nµ2 Pn
d ?C(θ) = ( 2πσ)−n e− 2σ2 , Q1 (θ) = µ/σ 2 , Q2 (θ) = − 2σ1 2 , T1 (x) = i=1 xi , T2 (x) =
Pn
i=1 xi , h(x) ≡ 1 . Ïdd½ÂŒ• ©ÙxN (µ, σ ) ´•êx.
2 2

~2. ‘©Ùx{b(n, θ) : 0 < θ < 1}´•êx.

Proof. X∼ ‘©Ù b(n, θ), ÙVǼê•

 
n x
p(x, θ) = Pθ (X = x) = θ (1 − θ)n−x
x
 
n θ x
= (1 − θ)n , x = 0, 1, 2, · · · , n. (1.3)
x 1−θ

d? ˜mX = {0, 1, 2, · · · , n}, ëê˜mΘ = {θ : 0 < θ < 1} = (0, 1). òþªU •

 
n θ o n
p(x, θ) = (1 − θ)n exp x log ·
1−θ x
= C(θ)exp{Q1 (θ)T1 (x)}h(x). (1.4)

θ n
d?C(θ) = (1 − θ)n , Q1 (θ) = log , U½Â ‘©Ùxb(n, θ) •´•


1−θ , T1 (x) = x, h(x) = x
êx.

~3. þ!©Ùx{U (0, θ), θ > 0} Ø´•êx.

Proof. d•êx ½ÂŒ•§Ù| 8•{x : p(x, θ) > 0} = {x : h(x) > 0}, §†θ Ã'.
þ!©Ùx{U (0, θ), θ > 0} | 8•{x : p(x, θ) > 0} = (0, θ) †θ k', Ïd§Ø´•ê
x.

!•êx g,/ª9g,ëê˜m
k
3•êx ½ÂC(θ) exp Qi (θ)Ti (x) h(x) ¥, e^ϕi “OQi (θ), òC(θ) L¤ϕ
P
i=1
k
¼êC ∗ (ϕ), ϕ = (ϕ1 , ϕ2 , · · · , ϕk ), ÙLˆªC•C ∗ (ϕ) exp ϕi Ti (x) h(x). 2Uϕi
P
i=1
k
•θi , i = 1, 2, · · · , k, Kþª=•: C(θ) exp θi Ti (x) h(x), dª¡••êx g,/ª(½
P
i=1
¡•IO/ª). ke ½Â

½ Â 2. XJ•êxke /ª
n
nX o
f (x, θ) = C(θ)exp θi Ti (x) h(x), (1.5)
i=1

K¡••êx g,/ª(Natural form). dž8Ü

n Z k o
∗
X
Θ = (θ1 , θ2 , · · · , θk ) : exp θi Ti (x) h(x)dx < ∞ (1.6)
X i=1

¡•g,ëê˜m (Natural parametric space).

~4. ò ©ÙxL«••êx g,/ª, ¿¦ÑÙg,ëê˜m.

2
Proof. d
 1 n nµ2 nµ X n n
1 X 2o
f (x; µ, σ 2 ) = √ e− 2σ2 exp x i − x ,
2πσ σ 2 i=1 2σ 2 i=1 i

ëê˜mΘ = {(µ, σ 2 ) : −∞ < µ < ∞, 0 < σ 2 < ∞}.-ϕ1 = µ/σ 2 , ϕ2 = − 2σ1 2 , )Ñσ =
q  n nµ2 q n nϕ21 4
− 2ϕ1 2 , µ2 /σ 2 = ϕ21 (− 2ϕ1 2 ), Ïdk √2πσ
1
e− 2σ2 = −2ϕ2
2π e 4ϕ2 = C ∗ (ϕ), ϕ = (ϕ1 , ϕ2 ),

n n
 X X
f (x, ϕ) = C ∗ (ϕ) exp ϕ1 x2i h(x)

xi + ϕ2
i=1 i=1
= C ∗ (ϕ) exp{ϕ1 T1 (x) + ϕ2 T2 (x)}h(x).

2Uϕi •θi (i = 1, 2), þªC•

f (x, θ) = C ∗ (θ) exp{θ1 T1 (x) + θ2 T2 (x)}h(x). (1.7)

d•Ùg,/ª. Ùg,ëê˜m•

Θ∗ = {(θ1 , θ2 ) : −∞ < θ1 < +∞, −∞ < θ2 < 0}.

n!•êx 5Ÿ

½ n 1. 3•êx g,/ªe, g,ëê˜m•à8.

y² •{Xeµ ?‰θ(1) = (θ11 , · · · , θk1 ), θ(0) = (θ10 , · · · , θk0 ) áug,ëê˜mΘ∗ ,

0 < α < 1, -θ = αθ (1)
+ (1 − α)θ (0)
(=θi = αθ + (1 − α)θ , i = 1, 2, · · · , k),eUy²θ ∈ Θ∗ ,
1
i
0
i

KUà8 ½Â, ½n y.

½ n 2. •êx g,/ª¥, g,ëê˜mkS:, g(x) ´?˜k.ŒÈ¼ê, Ké

Z k
nX o
G(θ) = g(x) exp θj Tj (x) h(x)dx,
X j=1

k
k
∂ m G(θ) ∂m
Z h nX o i
= g(x) exp θj Tj (x) h(x) dx,
∂θ1 · · · ∂θkmk
m1
X
m1 mk
∂θ1 · · · ∂θk j=1
Pk
Ù¥ j=1 mj = m, =éG(θ) 'uθ ?¿ êŒ3È©e¦ .

d½n •˜„ /ª9Ùy² wë•©z[1] P21 ½n1.2.1.

2 ¿©ÚOþ
·‚• , ÚOþ´é {z, F"ˆ : (i) {z §Ýp; (ii) &E ›” . ˜‡Ú
OþU8¥ ¥&E õ , †ÚOþ äN/ªk', ••6u¯K ÚO .. •Ð œ

3
¹´ÚOþr ¥ Ü&EÑ8¥å5, •Ò´`&EÛ”, ·‚¡ù ÚOþ•¿©
ÚOþ.
'u X = (X1 , X2 , · · · , Xn ) &EŒ± Ž¤Xe úª:

&E = ÚOþT (X)¥¤¹ëê &E

 
X¥•¹ëê
+ 3• T (X) Xÿ¹k'uëê •{&E


T (X)• ¿ © Ú O þ ‡ ¦ 8 ( •: ‡ ¦ ˜ ‘ & E •0. ^ Ú O Š ó 5 £ ã, = ‡

¦Pθ (X|T = t)†θÃ'. Ïd·‚ Xe ½Â:

½  1. X ©Ùx{Fθ (x), θ ∈ Θ}, θ•©Ù ëê. T = T (X)•˜ÚOþ, e3®

•T ^‡e, X ^‡©Ù†θÃ', K¡T (X)•¿©ÚOþ (Sufficient statistic).

¢SA^ž^‡©Ù^^‡VÇ(lÑœ/) ½^‡—Ý(ëYœ/) 5“O.

Pn
~1. X = (X1 , X2 , · · · , Xn )•l0 − 1©Ù¥Ä {ü , KT (X) = i=1 Xi •¿©Ú
Oþ.

Proof. U½Â·‚•‡y²e ^‡VdžθÃ'.

P (X1 = x1 , · · · , Xn = xn |T (x) = t0 )
 n
 P (X1 =x1 ,··· ,Xn =xn ,T =t0 ) = 1 n ,

P
xi = t 0

 P (T (x)=t0 ) t0
i=1
= Pn
 0,

 xi 6= t0 .
i=1
Pn
þã^‡VdžθÃ',ÏdT (X) = i=1 Xi •¿©ÚOþ.
1
Pn
~2. X = (X1 , X2 , · · · , Xn )•l oNN (θ, 1)¥Ä {ü , KT (X) = n i=1 Xi =
X̄ •¿©ÚOþ.

Proof. 2‰ C†
n
√1
( y = P
1 n
xi ,
i=1
Pn
yj = ajk xk , j = 2, · · · , n.
k=1
Pn Pn
d oNe þŠÚ • ©Ù ÑL§Œ• i=1 Yi 2 = i=1 Xi 2 ,…Y1 , Y2 , · · · , Yn ´
√
ƒpÕá , Y1 ∼ N ( nθ, 1), Yi ∼ N (0, 1), i = 2, · · · , n. Ïd(Y1 , · · · Yn ) éÜ—Ý•
n √
− 21 yi2 − 12 (y1 − nθ)2
P
−n
f (y1 , · · · yn ) = (2π) 2 e i=2 .

2dY1 —ݼê•
1 1 √ 2
fY1 (y1 ) = √ e− 2 (y1 − nθ)
2π
•3‰½Y1 ž, (Y1 , · · · , Yn ) ^‡—Ý´
n
f (y1 , · · · , yn ) 1
yi2
P
n−1 − 2
f (y1 , · · · , yn |y1 ) = = (2π)− 2 e i=2 (2.1)
fY1 (y1 )
†θÃ'.

4
 √
ùp|^ e ¯¢: -¡{(Y1 · · · Yn ) : Y1 = nt = y1 }´d-¡{(X1 , · · · , Xn ) : T (X) =
t}² ^= 5,-¡ ±ØC. Ïd3-¡{(X1 , · · · , Xn ) : T (X) = t}þ ^‡Vdž3-
¡{Y1 , · · · , Yn ) : Y1 = y1 } þ ^‡VǃÓ. k
n
− 21 yi2
P
− n−1
f (x1 , · · · , xn |T = t) = f (y1 , · · · , yn |Y1 = y1 ) = (2π) 2 e i=2

†θÃ', ¤±T (X) = X̄´¿©ÚOþ.

!¿©5 OOK—Ïf©)½n

Ïf©)½n´dR.A. Fisher 3 ›-V ›c“JÑ5,§ •˜„/ªÚî‚êÆy

², ´Halmos ÚSavage31949cŠÑ5 .

½ n 3. ( Ïf©)½n) X = (X1 , · · · , Xn ) VǼêf (x, θ) = f (x1 , · · · , xn ; θ) •

6uëêθ, T = T (X) = (T1 (X), · · · , Tk (X)´˜‡ÚOþ, KT•¿©ÚOþ ¿‡^‡
´f (x, θ)Œ±©)•
f (x, θ) = g(T (x), θ)h(x) (2.2)

/G.5¿d?¼êh(x) = h(x1 , · · · , xn )Ø•6uθ.

ùpVǼ괕: eX•ëY., Kf (x, θ)´Ù—ݼê; eX´lÑ., Kf (x, θ) =

Pθ (X1 = x1 , · · · , Xn = xn ), = X VÇ©Ù.

í Ø 1. T = T (X)•θ ¿©ÚOþ, S = ϕ(T)´üŠŒ_¼ê, KS = ϕ(T)•´θ ¿©Ú

Oþ.

~3. X = (X1 , · · · , Xn )•l oNN (a, σ 2 )¥Ä {ü , -θ = (a, σ 2 ), KT (X) =

Pn Pn
( i=1 Xi , i=1 Xi2 )•¿©ÚOþ.

Proof. X éÜ—Ý•
 1 n n
n 1 X 2
o
f (x, θ) = √ exp − (x i − a)
2πσ 2σ 2 i=1
 1 n n n
n 1 X 2 X
2
o
= √ exp − x − 2a x i + na
2πσ 2σ 2 i=1 i i=1
= g(T (x), θ) · h(x).
Pn Pn
d?h(x) ≡ 1, dÏf©)½nŒ•T (X) = ( i=1 Xi , i=1 Xi2 )•¿©ÚOþ.
Pn Pn
du( i=1 Xi , i=1 Xi2 )†(X̄, S 2 )•˜˜éA C†, díØŒ•(X̄, S 2 )•´¿©ÚOþ.
Pn
~4. X = (X1 , · · · , Xn )•loNb(1, θ)¥Ä {ü , KT (X) = i=1 Xi ´¿©ÚO
þ.

Proof. X éÜ©Ù´

f (x, θ) = Pθ (X1 = x1 , · · · , Xn = xn )
n n
n−
P P
xi xi
= θ i=1 (1 − θ) i=1 = g(T (x), θ)h(x).
Pn
d?h(x) ≡ 1, dÏf©)½nŒ•T (X) = i=1 Xi •¿©ÚOþ.

5
n!4 ¿©ÚOþ∗

˜‡©ÙxF ¿©ÚOþ ØŽ˜‡, @o3¦^¥ATXÛ]ÀQ? ·‚• ,Ú

Oþ´d \ó 5 , X ÙÚó¤ã, é \ów,Œ±JÑü^‡¦: (1) 3\
ó¥, ¤¹ëêθ &E›” Ð. e\ó¥d«&EÎÛ”, @Ò´¿©5 ‡¦.
(2) \ó¥, ¤ ÚOþ•{z Ð, {z
§ÝŒ±^ÚOþ ‘ê5ïþ, •Œ±^¼ê'
Pm Pn
X5L«. ~X阇 ‘ÚOþT1 (X) = ( i=1 Xi , i=m+1 Xi ),2?˜Ú\ó ˜‘Ú
Pn
OþT2 = i=1 Xi . †*þN´wÑ, T2 'T1 {z. …Œ±wÑ, T2 ´T1 ¼ê. ˜„5`,
eT †s´ü‡ÚOþ, …T ´S ¼ê, =T = q(S), @od¼ê ½ÂŒ•, T 'S{z.

½  2. T ´©ÙxF ¿©ÚOþ, eéF ?˜¿©ÚOþS(X), •3˜‡¼êqS (·)¦

T (X) = qS (S(X)), K¡T (X)´d©Ùx 4 ¿©ÚOþ.

3 ÚOþ∗
½  1. F = {Fθ (x), θ ∈ Θ}•˜©Ùx, Θ´ëê˜m. T = T (X)•˜ÚOþ, eé?˜
¢¼êϕ(·),d
Eθ ϕ(T (X)) = 0, ˜ƒ θ ∈ Θ, (3.1)

oŒíÑ
Pθ (ϕ(T (X)) = 0) = 1, ˜ƒ θ ∈ Θ, (3.2)

K¡T (X)´˜ ÚOþ (Complete Statistic).

d½ÂŒ„, eT (X)´ ÚOþ, K§ ?˜¢¼êg(T )•´ ÚOþ.

51. ÚOþT (X) 5Ø= ûuT /G, „ ûu X ©Ùx. 5(½¡

5) ù‡¶¡, ´5 u ¼ênØ¥ ˜‡aqVg. •{üO, ÚOþT (X)k—ݼ
êgθ (t),K(3.1)ªŒ • Z
ϕ(t)gθ (t)dt = 0, ˜ƒ θ ∈ Θ. (3.3)

È © ϕ(t)gθ (t)dt = 0/ ª þ Œ w ¤/ϕ†gθ 0. u ´, ^ ‡(3.1)Œ ` ¤ ´/ϕ† ¼ ê

R

X{gθ , θ ∈ Θ} 0. 3 ¼êØ, eM L«˜ ¼êX, …Ø•3†M š"¼ê,

K¡M • X. d(3.3) wÑ, ·‚ùp 5 Іdƒ . ØL·‚Ø¡—ݼê
X{gθ , θ ∈ Θ} , ¡ÚOþT . du{gθ , θ ∈ Θ}´dÚOþT û½ , ù«¡ ØK•¢
Ÿ.
Pn
~1. X = (X1 , · · · , Xn )•loNb(1, θ)¥Ä {ü , KT (X) = i=1 Xi ´ ÚO
þ.

Proof. w,, T (X) ∼ b(n, θ), k

 
n k
P (T (X) = k) = θ (1 − θ)n−k , k = 0, 1, 2, · · · , n.
k

ϕ(t)•?˜¢¼ê, ÷vEθ ϕ(T ) = 0, ˜ƒ0 < θ < 1,d=

n  
X n k
ϕ(k) θ (1 − θ)n−k = 0 ⇐⇒
k
k=0

6
 n  
X n θ k
ϕ(k) = 0, 0 < θ < 1.
k 1−θ
k=0

-θ/(1 − θ) = δ, Kþª du
∞ h  i
X n
ϕ(k) δ k = 0, 0 < δ < ∞.
k
k=0

þª†>´δ õ‘ª, 7k
 
n
ϕ(k) = 0, k = 0, 1, 2, · · · , n.
k
Pn
=ϕ(k) = 0, k = 0, 1, 2, · · · , n. ùÒy² T (X) = i=1 Xi ´ ÚOþ.

~2. X = (X1 , X2 , · · · , Xn )•l oNN (θ, 1)¥Ä {ü , KT (X) = X̄• Ú

Oþ.

1
Pn
Proof. w,T (X) = X̄ = n i=1 Xi ∼ N (θ, 1/n), ϕ(t)•t ?˜¢¼ê, ÷vEθ ϕ(T ) = 0,
阃−∞ < θ < ∞. d=
r Z ∞ r Z ∞
n n(t−θ)2 n nt2 nθ 2
ϕ(t)e− 2 dy = ϕ(t)e− 2 · e− 2 · entθ dt = 0.
2π −∞ 2π −∞

¤± Z ∞
nt2
ϕ(t)e− 2 · entθ dt = 0, −∞ < θ < ∞
−∞

-z = nθ,K Z ∞
nt2
G(z) = ϕ(t)e− 2 etz dt.
−∞

òzÀ•Eê, G(z)• ²¡þ )Û¼ê, …G(z) z ¢êž•0, d)Û¼ê •˜5½n,

G(z)3 ‡E²¡þ•0, AO z = iµ,K
Z ∞
nt2
G(µ) = ϕ(t)e− 2 · e−iµt dt = 0.
−∞

dF ourierC† _C†úª, Œ•
2
ϕ(t)e−nt /2
= 0.

kϕ(t) = 0, |t| < ∞, ÏdT (X) = X̄• ÚOþ.

!•êx¥ÚOþ 5

½ n 4. X = (X1 , X2 , · · · , Xn ) VǼê
k
nX o
f (x, θ) = C(θ)exp Qi (θ)Ti (x) h(x), θ∈Θ
i=1

••êx. -T (X) = (T1 (X), · · · , Tk (X)), eg,ëê˜mΘ∗ Š•Rk f8kS:, KT (X)´

ÚOþ.

7
~3. X = (X1 , · · · , Xn )´lþ!©ÙU (θ − 1/2, θ + 1/2)¥Ä {ü , KT (X) =
(X(1) , X(n) )´¿©ÚOþ, Ø´ ÚOþ.

Proof. T (X) = (X(1) , X(n) ) ¿©53~2.7.9¥®y. e¡5y²§Ø´ .

‡ y ² ˜ ‡ Ú O þT (X)Ø ´ , •‡é ˜ ‡ ¢ ¼ êϕ(t)¦ Eθ ϕ(T ) = 0,
/ϕ(T ) = 0, a.e. Pθ 0´Ø¤á =Œ.
-Z = X(n) − X(1) , Yi = Xi − (θ − 1/2), i = 1, 2, · · · , n,KY1 , · · · , Yn i.i.d. ∼ U (0, 1),†θÃ
'. džZ = X(n) − X(1) = Y(n) − Y(1) ©Ù•†θÃ'. é~êa < b¦

P (Z < a) = P (Z > b) > 0.

½Â



 1, Z < a,
ϕ(t) = −1, Z > b,

0, Ù§.



K´„ϕ(t)÷v:Eθ ϕ(T ) = 0, ϕ(t) 6≡ 0 (=P (ϕ(t) 6= 0) > 0). U½ÂT (X) = (X(1) , X(n) )Ø´
ÚOþ.

n!k. ÚOþ9Ù5Ÿ

½ Â 2. eé?Û÷v
Eθ ϕ(T (X)) = 0, 阃 θ ∈ Θ

k.(½a.e.k.) ¼êϕ(·) Ñk

Pθ ϕ(T (X) = 0) = 1, 阃 θ ∈ Θ,

K¡T (X)•k. ÚOþ.

d½ÂŒ„: ˜‡/ ÚOþ07•/k. ÚOþ0, ‡ƒØ7é.

½n 5. ( Basu½n F = {Fθ (x), θ ∈ Θ}•˜©Ùx, Θ´ëê˜m. X = (X1 , · · · , Xn )´

l©ÙxF ¥Ä {ü , T (X)´˜k. ÚOþ,…´¿©ÚOþ. er.v. V (X)
©Ù†θÃ', Ké?Ûθ ∈ Θ, V (X)†T (X)Õá.

~4. X = (X1 , · · · , Xn )´ lN (θ, 1)¥ Ä {ü , R(X) = X(n) − X(1) ¡ • 4 ,

Pn
KT (X) = X̄ = n1 i=1 Xi †R(X) Õá.

Proof. du ©ÙN (θ, 1)••êx, g,ëê˜mΘ∗ = {θ : −∞ < θ < ∞}Š•R1 f8k

S:. T (X)•¿© ÚOþ.
-Yi = Xi − θ,KYi ∼ N (0, 1), i = 1, 2, · · · , n. ÏdY1 , · · · , Yn i.i.d. ∼ N (0, 1),†θÃ'.l
Y(n) − Y(1) ©Ù•†θÃ'.

R(X) = X(n) − X(1) = Y(n) − Y(1)

ƒ©Ù†θ Ã', díØ2.8.1Œ•T (X)†R(X)Õá.