Maximal Ancillarity, Semiparametric Efficiency, and the Elimination of Nuisances

Marc Hallin, Bas J. M. Werker, Bo Zhou

Restricting statistical experiments via nuisance-ancillary $\ddot{I}ƒ$-fields yields nuisance-free experiments. However, a moot point with ancillarity is that maximal ancillary $\ddot{I}ƒ$-field…