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In [[statistics]], an '''ancillary statistic''' is a [[statistic]] whose [[sampling distribution]] does not depend on the parameters of the model. An ancillary statistic is a [[pivotal quantity]] that is also a statistic. Ancillary statistics can be used to construct [[prediction interval]]s.
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This concept was introduced by the statistical geneticist Sir [[Ronald Fisher]].
 
==Example==
 
Suppose ''X''<sub>1</sub>, ..., ''X''<sub>''n''</sub> are [[Independent identically-distributed random variables|independent and identically distributed]], and are [[normal distribution|normally distributed]] with unknown [[expected value]] ''μ'' and known [[variance]] 1. Let
 
:<math>\overline{X}_n = \frac{X_1+\,\cdots\,+X_n}{n}</math>
 
be the [[Arithmetic mean|sample mean]]. 
 
The following statistical measures of dispersion of the sample
*[[Range (statistics)|Range]]: max(''X''<sub>1</sub>, ..., ''X''<sub>''n''</sub>) &minus; min(''X''<sub>1</sub>, ..., ''X<sub>n</sub>'')
*[[Interquartile range]]: ''Q''<sub>3</sub> &minus; ''Q''<sub>1</sub>
*[[Sample variance]]:
:: <math>\hat{\sigma}^2:=\,\frac{\sum \left(X_i-\overline{X}\right)^2}{n}</math>
are all ''ancillary statistics'', because their sampling distributions do not change as ''μ'' changes. Computationally, this is because in the formulas, the ''μ'' terms cancel – adding a constant number to a distribution (and all samples) changes its sample maximum and minimum by the same amount, so it does not change their difference, and likewise for others: these measures of dispersion do not depend on location.
 
Conversely, given i.i.d. normal variables with known mean 1 and unknown variance ''σ''<sup>2</sup>, the sample mean <math>\overline{X}</math> is ''not'' an ancillary statistic of the variance, as the sampling distribution of the sample mean is ''N''(1,&nbsp;''&sigma;''<sup>2</sup>/''n''), which does depend on ''σ'' <sup>2</sup> – this measure of location (specifically, its [[standard error]]) depends on dispersion.
 
==Ancillary complement==
Given a statistic ''T'' that is not [[Sufficiency (statistics)|sufficient]], an '''ancillary complement''' is a statistic ''U'' that is ancillary and such that (''T'',&nbsp;''U'') is sufficient.<ref>[http://www.utstat.toronto.edu/dfraser/documents/237.pdf Ancillary Statistics: A Review] by M. Ghosh, N. Reid and D.A.S. Fraser</ref> Intuitively, an ancillary complement "adds the missing information" (without duplicating any).
 
The statistic is particularly useful if one takes ''T'' to be a [[maximum likelihood estimator]], which in general will not be sufficient; then one can ask for an ancillary complement. In this case, Fisher argues that one must condition on an ancillary complement to determine information content: one should consider the [[Fisher information]] content of ''T'' to not be the marginal of ''T'', but the conditional distribution of ''T'', given ''U'': how much information does ''T'' ''add''? This is not possible in general, as no ancillary complement need exist, and if one exists, it need not be unique, nor does a maximum ancillary complement exist.
 
===Example===
In [[baseball]], suppose a scout observes a batter in ''N'' at-bats. Suppose (unrealistically) that the number ''N'' is chosen by some random process that is [[statistical independence|independent]] of the batter's ability – say a coin is tossed after each at-bat and the result determines whether the scout will stay to watch the batter's next at-bat. The eventual data are the number ''N'' of at-bats and the number ''X'' of hits: the data (''X'',&nbsp;''N'') are a sufficient statistic.  The observed [[batting average]] ''X''/''N'' fails to convey all of the information available in the data because it fails to report the number ''N'' of at-bats (e.g., a batting average of .400, which is [[List of Major League Baseball batting champions|very high]], based on only five at-bats does not inspire anywhere near as much confidence in the player's ability than a 0.400 average based on 100 at-bats). The number ''N'' of at-bats is an ancillary statistic because
* It is a part of the observable data (it is a ''statistic''), and
* Its probability distribution does not depend on the batter's ability, since it was chosen by a random process independent of the batter's ability.
This ancillary statistic is an '''ancillary complement''' to the observed batting average ''X''/''N'', i.e., the batting average ''X''/''N'' is not a [[sufficiency (statistics)|sufficient statistic]], in that it conveys less than all of the relevant information in the data, but conjoined with ''N'', it becomes sufficient.
 
==See also==
 
* [[Basu's theorem]]
* [[Prediction interval]]
* [[Group family]]
* [[Conditionality principle]]
 
{{More footnotes|date=November 2009}}
 
==Notes==
{{reflist}}
 
{{DEFAULTSORT:Ancillary Statistic}}
[[Category:Statistical theory]]

Revision as of 04:56, 9 February 2014

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