Invariantly sufficient equivariant statistics and characterizations of normality in translation classes (Q789831)

From MaRDI portal
scientific article
Language Label Description Also known as
English
Invariantly sufficient equivariant statistics and characterizations of normality in translation classes
scientific article

    Statements

    Invariantly sufficient equivariant statistics and characterizations of normality in translation classes (English)
    0 references
    1983
    0 references
    Consider \({\mathbb{R}}^ n\) for \(n\geq 2\). For each real a, let \(T_ a\) be the translation by (a,a,...,a) and G the group \((T_ a\), \(a\in R)\). A statistic \(S:{\mathbb{R}}^ n\to {\mathbb{R}}\) is equivariant if \(S(T_ ax)=Sx+a\). For a probability \(P_ 0\) on \({\mathbb{R}}^ n\) let W be the family \((P_ a=PT_ a\!^{-1}:\) \(a\in R)\). Say that S is invariantly sufficient for the family W if for any G-invariant Borel set B there is a common version of \(E(l_ B| \sigma_ n(S))\). \(X_ 1,...,X_ n\) denote the coordinate variables on \({\mathbb{R}}^ n\). The following are the main theorems of the paper: Theorem 1: If \(P_ 0\) is a product probability then \(a\leftrightarrow b\) holds, where (a): There is an invariantly sufficient statistic of the form \(\sum c_ jX_ j\) where each \(c_ j\) as well as \(\sum c_ j\) is non zero, (b) either \(P_ 0\) is a point mass or is nondegenerate normal. In the degenerate case put \(U=1/n\sum X_ j\) and in the normal case put \(U=(1/c)\sum c_ jX_ j\) where \(c_ j=1/var(X_ j)\) and \(c=\sum c_ j\). Then the complete sufficient statistic U is the essentially unique invariantly sufficient equivariant statistic in \(L^ 2(P_ 0).\) Theorem 2: Suppose \(A=(a_{ij})\) is a regular \(n\times n\) matrix with each column sum \(a_{.j}=\sum_{i}a_{ij}\neq 0\). Put \(Z=XA\). Assume that under \(P_ 0 Z_ 1...Z_ n\) are independent with mean 0 and variances nonzero finite. Then the following are equivalent: (a) There exists one and only one invariantly sufficient unbiased linear statistic. (b) The statistic \(U=c^{-1}\sum c_ jX_ j\) where \(c_ j=\sum(1/\sigma^ 2\!_ k)a_{jk}a_{.k}\) and \(c=\sum c_ j\), \(\sigma^ 2\!_ k=Var(Z_ k)\) is sufficient. (c) \(P_ 0\) is normal. Further, in case \(n\geq 3\) the statistic U is admissible among all unbiased estimates for the family W iff \(P_ 0\) is normal. Proofs are well presented and relations with earlier characterizations of normality are discussed.
    0 references
    equivariant statistics
    0 references
    characterization of normality
    0 references
    Pitman estimator
    0 references
    minimum variance unbiased linear estimator
    0 references
    invariant sufficiency
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references