AISM 52, 173-183
(Received October 17, 1997; revised April 30, 1998)
Abstract. For estimation of functions involving only parameters of interest, in the presence of nuisance parameters, some optimality properties are established for partially sufficient (i.e. p-sufficient) statistics in two classes of regular probability models. The results are based on a characterization of regular unbiased estimating functions for parameters of interest in probability models for which a statistic exists such that its marginal distribution depends on unknown parameters only through the parameters of interest.
Key words and phrases: Fisher information, generalized Fisher information, partial sufficiency, ancillary statistic.
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