# Mathematical Statistics Lesson of the Day – Ancillary Statistics

The set-up for today’s post mirrors my earlier Statistics Lessons of the Day on sufficient statistics and complete statistics.

Suppose that you collected data

$\mathbf{X} = X_1, X_2, ..., X_n$

in order to estimate a parameter $\theta$.  Let $f_\theta(x)$ be the probability density function (PDF) or probability mass function (PMF) for $X_1, X_2, ..., X_n$.

Let

$a = A(\mathbf{X})$

be a statistics based on $\textbf{X}$.

If the distribution of $A(\textbf{X})$ does NOT depend on $\theta$, then $A(\textbf{X})$ is called an ancillary statistic.

An ancillary statistic contains no information about $\theta$; its distribution is fixed and known without any relation to $\theta$.  Why, then, would we care about $A(\textbf{X})$  I will address this question in later Statistics Lessons of the Day, and I will connect ancillary statistics to sufficient statistics, minimally sufficient statistics and complete statistics.

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