Past exam of the mathematics course of the University of Cambridge 2007 ii Paper 1 27I Solution Created 2026-09-24 Updated 2026-10-14
A sufficient statistic has a conditional law of given independent of the parameter. An ordinary ancillary statistic has a distribution independent of the whole parameter. A partial ancillary statistic for has a law free of , though it may depend on the nuisance parameter . The conditionality principle uses the conditional experiment given the observed value of ; removing additionally requires the conditional law of given to be free of it.
The factorization requested in the PDF expresses this stronger ancillary conditioning that eliminates a nuisance parameter. There is also a normalization typo: the conditional factor must satisfy for each fixed , rather than the printed double sum over and .
Under that nuisance-eliminating interpretation, take to be the parameter-free conditional probability of given , to be the conditional probability of given , and the marginal probability of . The conditional probability rule gives , with the three separate normalizations. Conversely summing over the fibers first gives the joint law , then summing over gives and dividing gives the required conditional law . The factorization also proves sufficiency of .
This equivalence is not valid for ordinary ancillarity alone: a constant is always ancillary, and is sufficient, but conditioning on a constant generally leaves the nuisance parameter present. Thus the distinction matters to the conclusion.
For the independent gamma distributed sample, the joint log-likelihood isThe proposed factorization would write this as a data-only term plus a function of and data plus a function of and data. It would therefore force its mixed derivative to vanish. In factThe mixed log-likelihood derivative obstruction to parameter separation rules out this exact nuisance-eliminating factorization. It does not rule out ordinary ancillary statistics: a constant statistic still qualifies, and is sufficient for the full two-parameter family.