Archive for conditional expectation

an insufficient puzzle

Posted in Books, Kids, Statistics with tags , , , on January 12, 2022 by xi'an

A rather peculiar and challenging question on X validated,  concerning the absolute impossibility of a conditional expectation, given a non-sufficient statistic, being still a statistic (i.e., being independent on the parameter θ). Inspired from the following except from Hogg and Craig. Namely, could there exist a specific function φ(·) such that E[φ(Y¹)|Y³] does not depend on the parameter θ? I could not find a satisfactory explanation right away (and the question remains unanswered!)

After posting this entry, I thought anew that cases when the unbiased estimator φ(Y¹) is not a bijective transform of Y¹ would work as a counter-example, since Y³=φ(Y¹) is not sufficient but E[φ(Y¹) |φ(Y¹) ]=φ(Y¹) is not involving θ… And this case does not exhibit a paradox in that the variance does not decrease any further.

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