Christian Robert Shows that the Sample Median Cannot Be a Sufficient Statistic

I am grateful to Christian Robert (Xi’an) for commenting on my recent Mathematical Statistics Lessons of the Day on sufficient statistics and minimally sufficient statistics.

In one of my earlier posts, he wisely commented that the sample median cannot be a sufficient statistic.  He has supplemented this by writing on his own blog to show that the median cannot be a sufficient statistic.

Thank you, Christian, for your continuing readership and contribution.  It’s a pleasure to learn from you!

Mathematical Statistics Lesson of the Day – Sufficient Statistics

*Update on 2014-11-06: Thanks to Christian Robert’s comment, I have removed the sample median as an example of a sufficient statistic.

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)* for $X_1, X_2, ..., X_n$.

Let

$t = T(\mathbf{X})$

be a statistic based on $\mathbf{X}$.  Let $g_\theta(t)$ be the PDF for $T(X)$.

If the conditional PDF

$h_\theta(\mathbf{X}) = f_\theta(x) \div g_\theta[T(\mathbf{X})]$

is independent of $\theta$, then $T(\mathbf{X})$ is a sufficient statistic for $\theta$.  In other words,

$h_\theta(\mathbf{X}) = h(\mathbf{X})$,

and $\theta$ does not appear in $h(\mathbf{X})$.

Intuitively, this means that $T(\mathbf{X})$ contains everything you need to estimate $\theta$, so knowing $T(\mathbf{X})$ (i.e. conditioning $f_\theta(x)$ on $T(\mathbf{X})$) is sufficient for estimating $\theta$.

Often, the sufficient statistic for $\theta$ is a summary statistic of $X_1, X_2, ..., X_n$, such as their

• sample mean
• sample median – removed thanks to comment by Christian Robert (Xi’an)
• sample minimum
• sample maximum

If such a summary statistic is sufficient for $\theta$, then knowing this one statistic is just as useful as knowing all $n$ data for estimating $\theta$.

*This above definition holds for discrete and continuous random variables.