From Optimality Robustness To Sufficiency and Completeness
Author:
D. Plachky a
| Affiliation: | a Institute of Mathematical Statistics, University of M nster, Einsteinstr. 62, D-48149 M nster, Germany. |
DOI:
10.1080/02331880212047
Publication Frequency:
6 issues per year
Subjects:
Mathematical Statistics;
Statistical Theory & Methods;
Statistics;
Statistics for the Biological Sciences;
Stochastic Models & Processes;
Formats available:
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Abstract
Let (\Omega,
\cal A , \cal P ) stand for a statistical experiment and \cal B , \cal C for some sub- σ-algebras of \cal A with \cal C \subset \cal B . It is shown that for any \cal B -measurable d\in\bigcap_ P\in \cal P![]() \, \cal L _ 2 (\Omega, \cal A ,P) there exists some d_ 1 \in\bigcap_ P\in \cal P![]() ![]() \cal L _ 2 (\Omega, \cal A ,P) being \cal C -measurable and a UMVU estimator in (\Omega, \cal A , \cal P ) and some conditional white noise d_ 2 \in\bigcap_ P\in \cal P![]() \, \cal L _ 2 (\Omega, \cal A ,P) , i.e.E_ P (d_ 2 \vert \cal C )=0,P\in \cal P , satisfying d=d_ 1 +d_ 2 , where d_ j ,j=1,2 , are uniquely determined up to P -zero sets, if and only if \cal C is sufficient and complete for \cal P \vert \cal B and \cal B is optimality robust for \cal P , i.e. any \cal B -measurable d\in\bigcap_ P\in \cal P![]() \, \cal L _ 2 (\Omega, \cal A ,P) being some UMVU estimator in the restricted statistical experiment (\Omega, \cal B , \cal P \vert \cal B ) is already a UMVU estimator in the original statistical experiment (\Omega, \cal A , \cal P ) . In particular, the special case \cal B = \cal A characterizes sufficiency and completeness of \cal C for \cal P and the special case \cal B = \cal C optimality robustness and completeness of \cal C for \cal P 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.
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| Keywords: Completeness; Optimality Robustness; Sufficiency |

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