Proving a statistic is ancillary [link to an old question]

Asked Dec 08 '19 at 15:17

Active Feb 17 '20 at 13:58

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It seemed pointless to write in the comments due to the question being old. There is one question given here with an accepted answer that I can't understand. It is implied there that from two random variables having the same distribution it follows that they are equal. Which is not true in general, for example. What am I missing?

edited Feb 17 '20 at 13:58

StubbornAtom

17,052

asked Dec 08 '19 at 15:17

Nikita Dezhic

1

I don't see that implication in the cited answer. Can you spell out more precisely how it goes? – kimchi lover Dec 08 '19 at 16:56
@kimchi lover "..indicating that $U^{\frac1{\alpha}}$ has the distribution of $X_1,X_2$.

So $U_{i}:=X_{i}^{\alpha}$ are iid and have standard exponential distribution."
– Nikita Dezhic Dec 08 '19 at 16:59
Explained by kimchi lover in the linked question. Thanks! – Nikita Dezhic Dec 08 '19 at 19:20

Proving a statistic is ancillary [link to an old question]

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