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单词 FactorizationCriterion
释义

factorization criterion


Let 𝑿=(X1,,Xn) be a random vector whosecoordinatesPlanetmathPlanetmath are observations, and whose probability (densityPlanetmathPlanetmath)function is, f(𝒙θ) where θ is anunknown parameter. Then a statisticMathworldMathworldPlanetmath T(𝑿) forθ is a sufficient statistic iff f can be expressed as aproduct of (or factored into) two functions g,h, f=ghwhere g is a function of T(𝑿) and θ, and his a function of 𝒙. In symbol, we have

f(𝒙θ)=g(T(𝑿),θ)h(𝒙).

Applications.

  1. 1.

    In view of the above statement, let’s show that the samplemean X¯ of n independentPlanetmathPlanetmath observations from a normaldistributionMathworldPlanetmath N(μ,σ2) is a sufficient statistic for theunknown mean μ. Since the Xi’s are independent randomvariablesMathworldPlanetmath, then the probability density functionMathworldPlanetmathf(𝒙μ), being the joint probability densityfunction of each of the Xi, is the product of the individualdensity functions f(xμ):

    f(𝒙μ)=i=1nf(xμ)=i=1n12πσ2exp[-(xi-μ)22σ2](1)
    =1(2π)nσ2nexp[i=1n-(xi-μ)22σ2](2)
    =1(2π)nσ2nexp[-12σ2i=1nxi2]exp[μσ2i=1nxi-nμ22σ2](3)
    =h(𝒙)exp[nμσ2T(𝒙)-nμ22σ2](4)
    =h(𝒙)g(T(𝒙),μ)(5)

    where g is the last exponential expression and h is the rest ofthe expression in (3). By the factorization criterion,T(𝑿)=X¯ is a sufficient statistic.

  2. 2.

    Similarly, the above shows that the sample variance s2 isnot a sufficient statistic for σ2 if μ is unknown.

  3. 3.

    But, if μ is a known constant, then the statistic

    T(X1,,Xn)=1n-1i=1n(Xi-μ)2

    is sufficient for σ2 by observing in (2) above, andletting h(𝒙)=1 and g(T,σ2) be all ofexpression (2).

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更新时间:2025/5/5 2:45:08