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I have a problem in which $X_1, X_2, .., X_n$ follows $N(\theta,1)$ and I am required to compute the minimal sufficient statistic for $\theta$.

I can see from exponential family criterion, $T_1(x) = \bar{X}$ will be one sufficient statistic. Also, we can write $T_2(x) = (\bar{X}, S^2)$ as another sufficient statistic. Further, we have a a trivial sufficient statistic called ordered statistic as $T(X) = (X_{(1)},.., X_{(n)})$.

I know that, Any sufficient statistic which is a function of yet another sufficient statistic is called a minimal sufficient statistic. Now, I can view the statistic $T_2(X)$ as a function of $T_1(X)$. In fact, I can view $T_1(x)$ as a function of $T_1(x)$ only. So, I can say that both $T_1(X)$ and $T_2(X)$ can be viewed as a minimal sufficient statistic. Then, which one of these is best? I mean which one should i ideally report if asked about the minimal sufficient statistic. Further, we also know any one of one function of sufficient statistic is sufficient. I want to ask whether the function will be sufficient for the same parameter or transformed parameter. Because if it will be sufficient for the same parameter then we can generate more minimal sufficient statistics from here. So, my doubt is here only? Which one should be considered and reported when asked for this?

EDIT.1

So, this is the point from Casella and Berger Statistical Inference

It says:

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  • $\begingroup$ Hello @xian, I understand your point here. But can you please look at an example of 6.2.12? I am confused from this example. This tells us that $T_2(x)$ is also sufficient and is a function of $T_1(x)$ $\endgroup$ – userNoOne Feb 19 at 8:14
  • $\begingroup$ Sure, I have edited my question. $\endgroup$ – userNoOne Feb 19 at 10:38
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Wrong statements:

  1. Any sufficient statistic which is a function of yet another sufficient statistic is called a minimal sufficient statistic.

  2. view the statistic $T_2(X)$ as a function of $T_1(X)$

  3. any one of one function of sufficient statistic is sufficient

  4. sufficient for the same parameter or transformed parameter

Corrected statements:

  1. A sufficient statistic that is a function of all other sufficient statistics is a minimal sufficient statistic

  2. there exists no function turning $\bar{x}_n$ into $(\bar{x}_n,s^2(x))$ (without $x$ being involved!)

  3. a function of a sufficient statistic is not necessarily sufficient

  4. sufficiency does not depend on the parameterisation of the distribution


The point in Casella and Berger is that here are two examples of sufficient statistics, hence with the same information about $\mu$, but one $T(\cdot)$ is summarising more than the other $T^\prime(\cdot)$ by eliminating $S^2$. (I am using Casella and Berger notations.) Nowehere is it mentioned that $T^\prime(\cdot)$ is a function of $T(\cdot)$.

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  • $\begingroup$ Hi @Xian, I was referring to your answer here. Is statement 3 really wrong? Are you sure about this? In casella and berger 2nd Edition , page number 280 while introducing the concept of minimal sufficient statistic, It clearly says that any one to one function of sufficient statistic will be a sufficient statistic. $\endgroup$ – userNoOne Feb 24 at 7:02
  • $\begingroup$ You wrote any one of one, not any one to one... $\endgroup$ – Xi'an Feb 24 at 7:03
  • $\begingroup$ Ahh. I get it. Sorry My bad. Actually, for the last one week, I have been trying to grasp this point. I thought you were talking about one to one. Let me edit my question. $\endgroup$ – userNoOne Feb 24 at 7:08
  • $\begingroup$ Alright, I understand. $\endgroup$ – userNoOne Feb 24 at 7:32

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