On Sufficiency and Invariance
Landers, D. ; Rogge, L.
Ann. Statist., Tome 1 (1973) no. 2, p. 543-544 / Harvested from Project Euclid
Let $\mathscr{P}$ be a family of probability measures defined on a $\sigma$-field $\mathscr{A}$ on $X$ and $G$ be a group of transformations on $X$ such that $Pg^{-1} \in \mathscr{P}$ for all $P \in \mathscr{P}, g \in G$. Let $\mathscr{A}_I$ be the $\sigma$-field of $G$-invariant sets of $\mathscr{A}$ and $\mathscr{A}_{I^\ast}$ the $\sigma$-field of $\mathscr{P}$-almost $G$-invariant sets of $\mathscr{A}$. Let $\mathscr{A}_S$ be a sufficient $\sigma$-field for $\mathscr{P} \mid \mathscr{A}$. Hall, Wijsman and Ghosh proved that $\mathscr{A}_S \cap \mathscr{A}_I$ is sufficient for $\mathscr{P} \mid \mathscr{A}_I$ if $g\mathscr{A}_S = \mathscr{A}_S$ for each $g \in G$ and $\mathscr{A}_S \cap \mathscr{A}_I \sim \mathscr{A}_S \cap \mathscr{A}_{I^\ast}(\mathscr{P})$. They posed the question whether the first condition alone suffices to prove this result. An example shows that the answer is no. For dominated families we show that $\mathscr{A}_S \cap \mathscr{A}_{I^\ast}$ is always sufficient for $\mathscr{P} \mid \mathscr{A}_{I^\ast}$, a result which is not true any more for undominated families.
Publié le : 1973-05-14
Classification:  Sufficient $\sigma$-fields,  invariance,  65B05,  62A05
@article{1176342420,
     author = {Landers, D. and Rogge, L.},
     title = {On Sufficiency and Invariance},
     journal = {Ann. Statist.},
     volume = {1},
     number = {2},
     year = {1973},
     pages = { 543-544},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176342420}
}
Landers, D.; Rogge, L. On Sufficiency and Invariance. Ann. Statist., Tome 1 (1973) no. 2, pp.  543-544. http://gdmltest.u-ga.fr/item/1176342420/