Showing a minimal sufficient statistic

density functionstatisticssufficient-statistics

If we have common density $$f(x|\theta)=\theta^{-1}x^{\frac{1-\theta}{\theta}},$$

with $x\in(0,1)$, $\theta>0$ and $\textbf{X}=(X_1,…,X_n)$ is a random sample.

Then how can we show that the statistic $$T_n=-lnX_1-…-lnX_n$$
is a minimal sufficient statistic for $\theta$?

I got the likelihood equation here as $$L(\theta|\textbf{X})=\theta^{-n}(X_1…X_n)^{\frac{1-\theta}{\theta}}$$

But I am not sure how to use the factorisation method to show the minimal sufficient statistic from this point.

Best Answer

Note that for $X_1, \ldots, X_n > 0,$ $$\prod_{i=1}^n X_i = \exp \left( \sum_{i=1}^n \log X_i \right) = e^{-T_n}$$ after using your notation for the sum. Consequently $$\mathcal L(\theta \mid \boldsymbol x) = \theta^{-n} (e^{-T_n})^{(1-\theta)/\theta} = \theta^{-n} e^{-T_n/\theta} e^{T_n}.$$ Since we seek a factorization of the form $$\mathcal L(\theta \mid \boldsymbol x) = h(\boldsymbol x) g(\boldsymbol T(\boldsymbol x) \mid \boldsymbol \theta),$$ we choose $$h(\boldsymbol x) = e^{T_n}, \\ \boldsymbol T(\boldsymbol x) = T_n, \\ g(\boldsymbol T \mid \boldsymbol \theta) = \theta^{-n} e^{-T_n/\theta}.$$

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