UA MATH566 统计理论1 充分统计量例题答案3
例1.18 X 1 , ⋯ , X n ∼ i i d N ( μ , σ 2 ) X_1,\cdots,X_n \sim_{iid} N(\mu,\sigma^2) X1,⋯,Xn∼iidN(μ,σ2),验证 T ( X ) = ( X ˉ , S S T ) T(X)=(\bar{X},SST) T(X)=(Xˉ,SST)是完备统计量。
先写出样本的联合概率密度,
f ( x 1 , ⋯ , x n ) = ∏ i = 1 n { 1 2 π σ exp ( − ( X i − μ ) 2 2 σ 2 ) } = ( 2 π ) − n / 2 σ − n exp ( − 1 2 σ 2 ∑ i = 1 n ( X i − μ ) 2 ) f(x_1,\cdots,x_n) = \prod_{i=1}^n \{\frac{1}{\sqrt{2\pi \sigma} } \exp \left( - \frac{(X_i-\mu)^2}{2\sigma^2} \right)\} \\ = (2\pi)^{-n/2}\sigma^{-n}\exp\left( -\frac{1}{2\sigma^2}\sum_{i=1}^n (X_i-\mu)^2\right) f(x1,⋯,xn)=i=1∏n{
2πσ1exp(−2σ2(Xi−μ)2)}=(2π)−n/2σ−nexp(−2σ21i=1∑n(Xi−μ)2)
我们把指数中的完全平方拆分一下,
∑ i = 1 n ( X i − μ ) 2 = ∑ i = 1 n ( X i − X ˉ + X ˉ − μ ) 2 = ∑ i = 1 n ( X i − X ˉ ) 2 + n ( X ˉ − μ ) 2 = S S T + n ( X ˉ − μ ) 2 \sum_{i=1}^n (X_i-\mu)^2 = \sum_{i=1}^n(X_i-\bar{X}+\bar{X}-\mu)^2 \\= \sum_{i=1}^n(X_i-\bar{X})^2 + n(\bar{X}-\mu)^2 = SST +n(\bar{X}-\mu)^2 i=1∑n(Xi−μ)2=i=1∑n(Xi−Xˉ+Xˉ−μ<