The reduction and ancillary classification of observations (Q1895365)

The concepts of sufficiency and ancillarity in statistical inference were introduced by \textit{R. A. Fisher} [Statistical methods and scientific inference. (1956)]. Many authors contributed to the generalization of these concepts. In this paper a measure-theoretic description of the invariance, (partial) sufficiency and (partial) ancillarity principles is given. Measure-theoretic formulations of these principles are independent of particular parametrizations of the family of probability distributions. Consequently this approach allows for general and concise definitions. In Section 1 we give the mathematical prerequisites that are used in the other sections. Section 2 describes in general terms the probability structure of the observational evidence. Sections 3 and 4 describe its sufficient reduction and ancillary conditioning. Statistical inference may have a given form, e.g. there may be a parameter of interest. This interest specification together with sufficiently reduced and conditioned probability structure constitute an inference model as described in Section 5. The interest specification makes invariant reduction possible as defined in Section 6. Invariant reduction as defined by \textit{G. A. Barnard} [J. R. Stat. Soc., Ser. B 25, 111-114 (1963; Zbl 0124.10103)] is a special case. In Sections 7 and 8 the concepts of partially sufficient reduction and partially ancillary conditioning are introduced. These definitions generalize other definitions of partial sufficiency and ancillarity. In Section 9 we propose a sequence in which the transformations described in the previous sections should be applied. Through this sequence of transformations every probability structure is changed into one or more reference models. In Section 10 we discuss some aspects of our reduction and classification scheme. Section 11 gives a number of examples.