Some Remarks on Sufficiency & Completeness Sufficiency Remarks X f

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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
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