Minimal sufficient statistic
A statistic which is a sufficient statistic for a family of distributions and is such that for any other sufficient statistic , , where is some measurable function. A sufficient statistic is minimal if and only if the sufficient -algebra it generates is minimal, that is, is contained in any other sufficient -algebra.
The notion of a -minimal sufficient statistic (or -algebra) is also used. A sufficient -algebra (and the corresponding statistic) is called -minimal if is contained in the completion , relative to the family of distributions , of any sufficient -algebra . If the family is dominated by a -finite measure , then the -algebra generated by the family of densities
is sufficient and -minimal.
A general example of a minimal sufficient statistic is given by the canonical statistic of an exponential family
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|||L. Schmetterer, "Introduction to mathematical statistics" , Springer (1974) (Translated from German)|
|[a1]||E.L. Lehmann, "Theory of point estimation" , Wiley (1983)|
|[a2]||E.L. Lehmann, "Testing statistical hypotheses" , Wiley (1986)|
Minimal sufficient statistic. A.S. Kholevo (originator), Encyclopedia of Mathematics. URL: http://www.encyclopediaofmath.org/index.php?title=Minimal_sufficient_statistic&oldid=15453