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The Pitman–Koopman–Darmois theorem says that if an i.i.d. sample from a parametrized family of probability distributions admits a sufficient statistic whose number of scalar components does not grow with the sample size, then it is an exponential family.

  • Do any textbooks or elementary expository papers give proofs?
  • Why is it named after those three persons?
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The reason the Lemma is called Pitman-Koopman-Darmois is, unsurprisingly, that the three authors established similar versions of the lemma, independently at about the same time:

  • Darmois, G. (1935) Sur les lois de probabilité à estimation exhaustive, Comptes Rendus de l'Académie des Sciences, 200, 1265-1266.
  • Koopman, B.O. (1936) On Distributions Admitting a Sufficient Statistic, Transactions of the American Mathematical Society, Vol. 39, No. 3. [link]
  • Pitman, E.J.G. (1936) Sufficient statistics and intrinsic accuracy, Proceedings of the Cambridge Philosophical Society, 32, 567-579.

following a one-dimensional result in

  • Fisher, R.A. (1934) Two new properties of mathematical likelihood, Proceedings of the Royal Society, Series A, 144, 285-307.

I do not know of a non-technical proof of this result. One proof that does not involve complex arguments is Don Fraser's (p.13-16), based on the argument that the likelihood function is a sufficient statistic,with functional value. But I find the argument disputable because statistics are real vectors that are functions of the sample $x$, not functionals (function valued transforms). With all due respect, by changing the nature of the statistic, Don Fraser changes the definition of sufficiency and hence the meaning of the Darmois-Koopman-Pitman lemma.

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    $\begingroup$ +1. Nitpick on the linked Koopman paper in the paragraph following Eq. (6) proving the everywhere vanishing Jacobian: the neighborhood of should not be picked arbitrarily only so that the Jacobian is nonzero. It has to be argued locally for each point $(x_1^0,x_2^0,x_3^0)$ rather than locally. The (defined) existence of the nonzero differential at that point guarantees that there exists a small enough neighborhood of that point such that the left hand side of Eq. (5) in that neighborhood other than that point is always distinct from that at that point. $\endgroup$
    – Hans
    Feb 26, 2019 at 22:51
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    $\begingroup$ It is not true that nonzero Jacobian leads to global unique values in a domain (manifold) as is implied in the paper. It is only true locally. Also the dimensionality is preserved not by homeomorphism as is claimed in the last sentence of that paragraph, but rather by local diffeomorphism, which is the case here. $\endgroup$
    – Hans
    Feb 26, 2019 at 22:54
  • $\begingroup$ @Hans So, strictly speaking, is Koopman's proof wrong? I can't figure this out right away. $\endgroup$ May 23, 2021 at 21:18
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    $\begingroup$ @paperskilltrees: It has been 2.25 years since I wrote my comment. I will review that paper. Maybe you can remind me of your question next week? $\endgroup$
    – Hans
    May 23, 2021 at 21:45
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    $\begingroup$ @paperskilltrees: It is not a topic I deal with daily. But I intend to review it. Thank you for the reminder. I will get to it this week or the next. $\endgroup$
    – Hans
    Jun 3, 2021 at 13:49

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