Ask |x| is sufficient statistic of $n(0,\sigma^2)$

statistical-inferencestatistics

From the Factorization Theorem, the pdf or pmf of X can be written as $f(\textbf{x}|\theta) =g(T(\textbf{x})|\theta)h(\textbf{x})$ , where $g(t|\theta)$ is the pdf or pmf of T and $h(\textbf{x})$ does not depend on $\theta$.

I am confused on the statement "$g(t|\theta)$ is the pdf or pmf of T".

For example, this is the exercise 6.1 of Statistical Inference Book by Casella and Berger.

Let X be one observation from a $n(0,\sigma^2)$ population. Is $|X|$ a sufficient statistic?

I know how to solve this problem. The Factorization Theorem allows us to find a sufficient statistic by simple inspection of the pdf or pmf of the sample.

Thus, $f(x|\delta)=\frac{1}{\sqrt{2\pi} \sigma} e^{-\frac{x^2}{2\sigma^2}} =\frac{1}{\sqrt{2\pi} \sigma} e^{-\frac{|x|^2}{2\sigma^2}}$.

My question is whether I can conclude $\frac{1}{\sqrt{2\pi} \sigma} e^{-\frac{|x|^2}{2\sigma^2}}$ is the pdf of $|x|$.

Best Answer

$|X|$ is indeed sufficient for $\sigma^2$. This is quite intuitive, since $\text{Var}(X) = \text{Var}(-X)$, so the sign of your observation shouldn't matter in this context. You can't conclude that $\frac{1}{\sqrt{2 \pi} \sigma}e^{-\frac{|x|^2}{2\sigma^2}} =: \phi(|x|)$ is the probability density function of $|X|$.

Since $|X|$ only takes non-negative values and $\phi(x)$ is an even function, it is quite intuitive to say that the pdf of $|X|$ is $2\phi(x)$ for $x \geq0$. If you are not convinced, here is the calculation:

1) ($x < 0)$
\begin{equation} P(|X| \leq x) = 0, \end{equation} since $|X|$ takes only non-negative values.
2) $(x \geq 0)$ \begin{align} P(|X| \leq x) &= P(-x \leq X \leq x) \\ &= P(X \leq x) -P(X \leq -x) ~\text{(because of symmetry)} \\ &= P(X \leq x) -P(X \geq x) \\ &= P(X \leq x) -(1 - P(X \leq x)) \\ &= 2P(X \leq x) - 1. \end{align} If we differentiate wrt $x$, we obtain the density $2\phi(x)$.

With this, we can conclude that $|X|$ has the density function \begin{equation} f(x) = \begin{cases} 0, & \text{if}\ x < 0,\\ 2\phi(x), & \text{if}\ x\geq0. \end{cases} \end{equation}

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