Robert_V._Hogg,_Joseph_W._McKean,_Allen_T._Craig

(Jacob Rumans) #1
438 Sufficiency

This theorem has useful implications. In a regular case of form (7.5.1), we can
see by inspection that the sufficient statistic isY 1 =


∑n
1 K(Xi). If we can see how
to form a function ofY 1 ,sayφ(Y 1 ), so thatE[φ(Y 1 )] =θ, then the statisticφ(Y 1 )
is unique and is the MVUE ofθ.


Example 7.5.2.LetX 1 ,X 2 ,...,Xndenote a random sample from a normal dis-
tribution that has pdf


f(x;θ)=

1
σ


2 π

exp

[

(x−θ)^2
2 σ^2

]
, −∞<x<∞, −∞<θ<∞,

or
f(x;θ)=exp

(
θ
σ^2

x−

x^2
2 σ^2

−log


2 πσ^2 −

θ^2
2 σ^2

)
.

Hereσ^2 is any fixed positive number. This is a regular case of the exponential class
with


p(θ)=
θ
σ^2

,K(x)=x,

H(x)=−

x^2
2 σ^2

−log


2 πσ^2 ,q(θ)=−

θ^2
2 σ^2

.

Accordingly,Y 1 =X 1 +X 2 +···+Xn=nXis a complete sufficient statistic for
the meanθof a normal distribution for every fixed value of the varianceσ^2 .Since
E(Y 1 )=nθ,thenφ(Y 1 )=Y 1 /n=Xis the only function ofY 1 that is an unbiased
estimator ofθ; and being a function of the sufficient statisticY 1 , it has a minimum
variance. That is,Xis the unique MVUE ofθ. Incidentally, sinceY 1 is a one-to-one
function ofX,Xitself is also a complete sufficient statistic forθ.


Example 7.5.3(Example 7.5.1, Continued).Reconsider the discussion concerning
the Poisson distribution with parameterθfound in Example 7.5.1. Based on this
discussion, the statisticY 1 =


∑n
i=1Xiwas sufficient. It follows from Theorem
7.5.2 that its family of distributions is complete. SinceE(Y 1 )=nθ, it follows that
X=n−^1 Y 1 is the unique MVUE ofθ.

EXERCISES
7.5.1.Write the p df

f(x;θ)=

1
6 θ^4

x^3 e−x/θ, 0 <x<∞, 0 <θ<∞,

zero elsewhere, in the exponential form. IfX 1 ,X 2 ,...,Xnis a random sample from
this distribution, find a complete sufficient statisticY 1 forθand the unique function
φ(Y 1 ) of this statistic that is the MVUE ofθ.Isφ(Y 1 ) itself a complete sufficient
statistic?
7.5.2.LetX 1 ,X 2 ,...,Xndenote a random sample of sizen>1 from a distribution
with pdff(x;θ)=θe−θx, 0 <x<∞, zero elsewhere, andθ>0. ThenY=


∑n
1 Xi
is a sufficient statistic forθ.Provethat(n−1)/Yis the MVUE ofθ.
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