factorization criterion
Let be a random vector whosecoordinates are observations, and whose probability (density
)function is, where is anunknown parameter. Then a statistic
for is a sufficient statistic iff can be expressed as aproduct of (or factored into) two functions , where is a function of and , and is a function of . In symbol, we have
Applications.
- 1.
In view of the above statement, let’s show that the samplemean of independent
observations from a normaldistribution
is a sufficient statistic for theunknown mean . Since the ’s are independent randomvariables
, then the probability density function
, being the joint probability densityfunction of each of the , is the product of the individualdensity functions :
(1) (2) (3) (4) (5) where is the last exponential expression and is the rest ofthe expression in . By the factorization criterion, is a sufficient statistic.
- 2.
Similarly, the above shows that the sample variance isnot a sufficient statistic for if is unknown.
- 3.
But, if is a known constant, then the statistic
is sufficient for by observing in above, andletting and be all ofexpression .