Some Remarks on Sufficiency & Completeness Sufficiency Remarks 1. If X1 , . . . , Xn is a random sample (iid) from pdf/pmf f (x|θ), θ ∈ Θ, then the ˜ ˜ order statistics X(1) , . . . , X(n) are sufficient for θ. ˜ proof: By the factorization theorem, X(1) , . . . , X(n) are sufficient for θ because we can write ˜ n n Y Y the joint pdf/pmf f (x|θ) = f (xi |θ) = f (x(i) |θ) = g(x(1) , . . . , x(n) , θ) h(x) ., ∀ x, θ ˜˜ ˜ ˜ ˜} |{z} ˜ ˜ ˜ i=1 i=1 | {z Qn 1 i=1 f (x(i) |θ ) ˜ 2. If S = (S1 , S2 , . . . , Sk ) is sufficient for real-valued θ ∈ Θ ⊂ R, then any Bayes ˜ estimator is a function of S . ˜ Example: From homework, consider X1 , . . . , Xn iid Bernoulli(θ), 0 < θ < 1; loss L(t, θ) = (t−θ)2 ; θ(1−θ) and uniform(0,1) prior π(θ). Then the Bayes estimator is T0 = X̄n , which is sufficient for θ (by factorization theorem). 3. If S = (S1 , S2 , . . . , Sk ) is sufficient for θ ∈ Θ ⊂ Rp and θ̂ is the unique MLE of θ, ˜ ˜ ˜ then θ̂ is a function of S . ˜ Completeness Remarks 1. If T is complete, then T is boundedly complete; the converse is false. 2. If T is sufficient and boundedly complete, then T is minimal sufficient. 3. Suppose T is complete and h1 (T ), h2 (T ) are two estimators of γ(θ) ˜ if Eθ h1 (T ) = γ(θ) = Eθ h2 (T ), ∀θ ∈ Θ ˜ ˜ ˜ ˜ ⇒ Eθ u(T ) = 0, ∀θ ∈ Θ, where u(T ) = h1 (T ) − h2 (T ) ˜ ˜¡ ¢ ⇒ Pθ u(T ) = 0 = 1, ∀θ ∈ Θ ˜ ˜¡ ¢ ⇒ Pθ h1 (T ) = h2 (T ) = 1, ∀θ ∈ Θ ˜ ˜ Hence, there can be at most one (i.e., unique) UE of a parametric function γ(θ) ˜ that is a function of a complete statistic. 1 Lehmann-Scheffe Theorem Theorem. Let f (x|θ) = f (x1 , . . . , xn |θ) be the joint pdf/pmf of (X1 , . . . , Xn ), ˜˜ ˜ p θ = (θ1 , . . . , θp ) ∈ Θ ⊂ R . Let S = (S1 , S2 , . . . , Sk ) be a complete and sufficient ˜ ˜ ∗ statistic. If T ≡ T (S ) is an UE of γ(θ) and is a function of S , then T ∗ is the ˜ ˜ ˜ UMVUE of γ(θ). ˜ Proof. Let T be any UE of γ(θ). We need to show Varθ (T ∗ ) ≤ Varθ (T ), ∀θ ∈ Θ. ˜ ˜ ˜ ˜ Define T1 = E(T |S ). Since S is sufficient, by the Rao-Blackwell theorem, we know ˜ ˜ Since S is complete, we know ˜ Remark. The R-B theorem & L-S theorem together suggest two methods for finding the UMVUE: Method I: Given a parametric function γ(θ), find an UE of γ(θ) that is a ˜ ˜ function of a complete and sufficient statistic. Method II: Start with any UE T of γ(θ). Then T ∗ = E(T |S ) is the UMVUE ˜ ˜ of γ(θ), if S is complete and sufficient ˜ ˜ 2