Ancillary conditioning that eliminates a nuisance parameter

ID: ancillary-conditioning-that-eliminates-a-nuisance-parameter

For a sufficient statistic and parameter , a useful strong reduction requires the law of to be free of and the conditional distribution of given to be free of the nuisance parameter . In the discrete case it gives
where sums to one on each fiber, sums to one over , and sums to one over separately for every fixed . Ordinary ancillarity, or just the law of being free of , does not by itself guarantee that conditioning removes .

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