The Annals of Mathematical Statistics

On the Order Structure of the Set of Sufficient Subfields

D. L. Burkholder

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Abstract

In [5], the concept of statistical sufficiency is studied within a general probability setting. The study is continued here. The notation and definitions of [5] are used. Here we give an example of sufficient statistics $t_1$ and $t_2$ such that the pair $(t_1, t_2)$ is not sufficient. The example also has the property that, in a sense to be made precise, no smallest sufficient statistic containing $t_1$ and $t_2$ exists. In Example 4 of [5], sufficient subfields $\mathbf{A}_1$ and $\mathbf{A}_2$ are exhibited such that $\mathbf{A}_1 \vee \mathbf{A}_2$, the smallest subfield containing $\mathbf{A}_1 and \mathbf{A}_2$, is not sufficient. Such an example is given here with the even stronger property that no smallest sufficient subfield containing $\mathbf{A}_1$ and $\mathbf{A}_2$ exists. Let $(X, \mathbf{A}, P)$ be the probability structure under consideration. Here $X$ is a set, $\mathbf{A}$ is a $\sigma$-field of subsets of $X$, and $P$ is a family of probability measures $p$ on $\mathbf{A}$. Let $\mathbf{N}$ be the smallest $\sigma$-field containing the $P$-null sets and let $K$ be the collection of sufficient subfields of $A$ containing $N$. (Restricting attention to sufficient subfields containing $N$ is technically convenient. Note that any sufficient subfield is equivalent, in the usual sense, to one containing $N$.) Some of the properties of $K$ can be described in the language of lattice theory as follows. Let $L$ be the set of subfields (= sub-$\sigma$-fields) of $\mathbf{A}$. Then $L$, partially ordered by inclusion, is a complete lattice. (Our terminology is essentially that of Birkhoff [4].) Example 4 of [5], mentioned above, shows that $K$ is not always a sublattice of $L$. The example given below shows more: The set $K$, partially ordered by inclusion, is not always a lattice in its own right. Note, however, that if $H$ is a finite, or even countable, subset of $K$, then the greatest lower bound of $H$ relative to $L$ exists and is in $K$ ([5], Corollary 2). The difficulty is with the least upper bound. There is less difficulty if $\mathbf{A}$ is separable. Corollaries 2 and 4 of [5] indicate that if $A$ is separable, then $K$ is a $\sigma$-complete sublattice of $L$. This is about as strong a result as could be expected here. For even if $\mathbf{A}$ is separable, $\mathbf{K}$ is sometimes neither complete nor conditionally complete: Each of the nonsufficient subfields exhibited in Example 1 of [5] is easily seen to be both the greatest lower bound of a subset of $K$ and the least upper bound of a subset of $K$. There is no difficulty if $P$ is dominated. If $P$ is dominated, then $K$ is a complete sublattice of $L$. This follows easily from the existence in this case (Bahadur [2], Theorems 6.2 and 6.4; Loeve [6], Section 24.4) of a subfield $\mathbf{A}_0$ in $K$ such that $K = \{\mathbf{B} \mid \mathbf{B} \epsilon L, \mathbf{A}_0 \subset \mathbf{B}\}$.

Article information

Source
Ann. Math. Statist., Volume 33, Number 2 (1962), 596-599.

Dates
First available in Project Euclid: 27 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aoms/1177704584

Digital Object Identifier
doi:10.1214/aoms/1177704584

Mathematical Reviews number (MathSciNet)
MR137227

Zentralblatt MATH identifier
0127.34808

JSTOR
links.jstor.org

Citation

Burkholder, D. L. On the Order Structure of the Set of Sufficient Subfields. Ann. Math. Statist. 33 (1962), no. 2, 596--599. doi:10.1214/aoms/1177704584. https://projecteuclid.org/euclid.aoms/1177704584


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