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From Optimality Robustness To Sufficiency and Completeness 

Author: D. Plachky a
Affiliation:   a Institute of Mathematical Statistics, University of Muumlnster, Einsteinstr. 62, D-48149 Muumlnster, Germany.
DOI: 10.1080/02331880212047
Publication Frequency: 6 issues per year
Published in: journal Statistics, Volume 36, Issue 2 2002 , pages 139 - 146
Formats available: PDF (English)
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Abstract

Let (\Omega,lcub\cal Arcub,lcub\cal Prcub) stand for a statistical experiment and lcub\cal Brcub,lcub\cal Crcub for some sub- σ-algebras of lcub\cal Arcub with lcub\cal Crcub\subset lcub\cal Brcub . It is shown that for any lcub\cal Brcub -measurable d\in\bigcap_lcubP\in lcub\cal Prcubrcub\,lcub\cal Lrcub_lcub2rcub(\Omega,lcub\cal Arcub,P) there exists some d_lcub1rcub\in\bigcap_lcubP\in lcub\cal Prcubrcublcub\cal Lrcub_lcub2rcub(\Omega,lcub\cal Arcub,P) being lcub\cal Crcub -measurable and a UMVU estimator in (\Omega,lcub\cal Arcub,lcub\cal Prcub) and some conditional white noise d_lcub2rcub\in\bigcap_lcubP\in lcub\cal Prcubrcub\,lcub\cal Lrcub_lcub2rcub(\Omega,lcub\cal Arcub,P) , i.e.

E_lcubPrcub(d_lcub2rcub\vert lcub\cal Crcub)=0,P\in lcub\cal Prcub , satisfying d=d_lcub1rcub+d_lcub2rcub , where d_lcubjrcub,j=1,2 , are uniquely determined up to P -zero sets, if and only if lcub\cal Crcub is sufficient and complete for lcub\cal Prcub\vert lcub\cal Brcub and lcub\cal Brcub is optimality robust for lcub\cal Prcub , i.e. any lcub\cal Brcub -measurable d\in\bigcap_lcubP\in lcub\cal Prcubrcub\,lcub\cal Lrcub_lcub2rcub(\Omega,lcub\cal Arcub,P) being some UMVU estimator in the restricted statistical experiment (\Omega,lcub\cal Brcub,lcub\cal Prcub\vert lcub\cal Brcub) is already a UMVU estimator in the original statistical experiment (\Omega,lcub\cal Arcub,lcub\cal Prcub) . In particular, the special case lcub\cal Brcub=lcub\cal Arcub characterizes sufficiency and completeness of lcub\cal Crcub for lcub\cal Prcub and the special case lcub\cal Brcub=lcub\cal Crcub optimality robustness and completeness of lcub\cal Crcub for lcub\cal Prcub from a decomposition theoretical point of view. As an application it is shown that a σ-algebra containing a sufficient and complete sub- σ-algebra is optimality robust without being itself in general neither sufficient nor complete.
Keywords: Completeness; Optimality Robustness; Sufficiency
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