Showing that likelihood function is sufficient but not minimal sufficient

In summary: P(\mathbf{X} | S(\mathbf{X}), \theta_2). $$Therefore, $S(\mathbf{X})$ is also a sufficient statistic for $\theta$. Thus, $T(\mathbf{X})$ is not a minimal sufficient statistic.In summary, $T(\mathbf{X})$ is a sufficient statistic for $\theta$ but not a minimal sufficient statistic. To prove this, we showed that the conditional distribution of $\mathbf{X}$ given $T(\mathbf{X})$ does not depend on $\theta$, but there exists a smaller statistic that is also sufficient for $\theta$. This proves that $
  • #1
Usagi
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Let $f(x|\theta)$ be a family of densities where the parameter space is finite, i.e., $\theta \in \Theta = \{\theta_1, \cdots, \theta_p\}$. Now consider the likelihood function statistic, defined to be $T(\mathbf{X}) = (f_{\theta}(\mathbf{X}))_{\theta \in \Theta} = (T_1(\mathbf{X}), \cdots, T_p(\mathbf{X})) = (f_{\theta_1}(\mathbf{X}), \cdots, f_{\theta_p}(\mathbf{X}))$. Show that $T(\mathbf{X})$ is a sufficient statistic for $\theta$ but not a minimal sufficient statistic.

How do I go about proving this?
 
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  • #2
Any help is appreciated. Proof:To show that $T(\mathbf{X})$ is a sufficient statistic for $\theta$, we must show that the conditional distribution of $\mathbf{X}$ given $T(\mathbf{X})$ does not depend on $\theta$. That is, for any $\theta_1, \theta_2 \in \Theta$, we must show that $$P(\mathbf{X} | T(\mathbf{X}), \theta_1) = P(\mathbf{X} | T(\mathbf{X}), \theta_2). $$Since $T(\mathbf{X})$ is defined to be the collection of densities $f_{\theta}(\mathbf{X})$ evaluated at each value of $\theta$, it follows that $$P(\mathbf{X} | T(\mathbf{X}), \theta_1) = \prod_{i=1}^p f_{\theta_1}(x_i) = \prod_{i=1}^p f_{\theta_2}(x_i) = P(\mathbf{X} | T(\mathbf{X}), \theta_2). $$Therefore, $T(\mathbf{X})$ is a sufficient statistic for $\theta$.To show that $T(\mathbf{X})$ is not a minimal sufficient statistic, we must show that there exists a smaller statistic $S(\mathbf{X})$ such that $S(\mathbf{X})$ is also sufficient for $\theta$. To do this, let $S(\mathbf{X}) = (T_1(\mathbf{X}), \cdots, T_k(\mathbf{X}))$ where $k < p$. Since $S(\mathbf{X})$ consists of a subset of the densities in $T(\mathbf{X})$, it follows that $$P(\mathbf{X} | S(\mathbf{X}), \theta_1) = \prod_{i=1}^k f_{\theta_1}(x_i) = \prod_{i=1}
 

Related to Showing that likelihood function is sufficient but not minimal sufficient

1. What is the purpose of showing that a likelihood function is sufficient but not minimal sufficient?

The purpose of showing that a likelihood function is sufficient but not minimal sufficient is to determine whether the given data contains enough information to make accurate inferences about the parameters of the underlying distribution. This can also help in deciding which statistical methods are appropriate for analyzing the data.

2. Can a likelihood function be sufficient but not minimal sufficient?

Yes, a likelihood function can be sufficient but not minimal sufficient. This means that the likelihood function contains enough information to make accurate inferences about the parameters, but there exists a smaller subset of the data that contains the same amount of information.

3. How is sufficiency different from minimality in terms of likelihood functions?

Sufficiency refers to the amount of information contained in the data, while minimality refers to the smallest subset of the data that contains the same amount of information. A likelihood function can be sufficient but not minimal sufficient if there exists a smaller subset of the data that contains the same amount of information.

4. What are the advantages and disadvantages of a likelihood function being sufficient but not minimal sufficient?

The advantage of a likelihood function being sufficient but not minimal sufficient is that it contains enough information to make accurate inferences about the parameters, which can be useful for selecting appropriate statistical methods. However, the disadvantage is that it may not be the most efficient way to estimate the parameters, as there may exist a smaller subset of the data that contains the same amount of information.

5. How can I determine if a likelihood function is sufficient but not minimal sufficient?

To determine if a likelihood function is sufficient but not minimal sufficient, you can use the Factorization Theorem. If the likelihood function can be factorized into a product of two functions, one depending only on the parameters and the other only on the data, then the function is sufficient. To check if it is minimal sufficient, you can compare it to other subsets of the data to see if they contain the same amount of information.

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