Derive sufficient statistic from a random independent sample from a weibull distribution

parameter estimationstatistics

Suppose $X_i$ is a random independent sample from a Weibull distribution

$$ f(x) = \frac{\beta}{\theta^\beta}x^{\beta-1}\exp\big(-(\frac{x}{\theta})^\beta\big)$$

Find a sufficient statistic for parameter $\theta$.

SOLUTION:

I have used fisher factorisation criterion $f(x;\theta)=g(T(x);\theta)h(x)$

in this case:

$$h(x)=\beta x^{\beta-1}$$

$$ g(T(x);\theta) = \frac{1}{\theta^\beta}\exp \Big(-(\frac{x}{\theta})^\beta \Big)= \frac{1}{\theta^\beta} \Big(- \exp (x^\beta)+\exp(\theta^\beta \Big) $$

therefore

$$ T(x) = -\exp(x\beta)$$

is sufficient statistic for parameter $\theta$.

Is this correct?

Best Answer

Due to independence, joint density of the sample $\mathbf X=(X_1,X_2,\cdots,X_n)$ is

\begin{align} f_{\theta}(\mathbf x)&=\prod_{i=1}^n \frac{\beta}{\theta^{\beta}}x_i^{\beta -1}e^{-x_i^{\beta}/{\theta}^{\beta}}\mathbf1_{x_i>0} \\&=\frac{e^{-\frac{\sum x_i^{\beta}}{\theta^{\beta}}}}{\theta^{n\beta}}\beta^n \left(\prod_{i=1}^n x_i\right)^{\beta-1}\mathbf1_{x_1,\cdots,x_n>0}\quad,\theta,\beta>0 \\&=g(\theta,t(\mathbf x))h(\mathbf x) \end{align}

, where $g(\theta, t(\mathbf x))= \frac{e^{-\frac{\sum x_i^{\beta}}{\theta^{\beta}}}}{\theta^{n\beta}} $ depends on $\theta$ and on $x_1,x_2,\cdots,x_n$ through $t(\mathbf x)=\sum_{i=1}^n x_i^{\beta}$ and $h(\mathbf x)= \beta^n \left(\prod_{i=1}^n x_i\right)^{\beta-1} $ is independent of $\theta$.

Assuming $\beta$ is known, by the Factorization theorem, a sufficient statistic for $\theta$ would be

$$T(\mathbf X)=\sum_{i=1}^nX_i^{\beta}$$

Your answer is not quite right. But we can say that $e^{-T}$ is also sufficient for $\theta$, being a bijective function of $T$.