Ancillary statistic

An ancillary statistic is a measure of a sample whose distribution does not depend on the parameters of the model. An ancillary statistic is a pivotal quantity that is also a statistic. Ancillary statistics can be used to construct prediction intervals. An ancillary statistic is a measure of a sample whose distribution does not depend on the parameters of the model. An ancillary statistic is a pivotal quantity that is also a statistic. Ancillary statistics can be used to construct prediction intervals. This concept was introduced by the statistical geneticist Sir Ronald Fisher. Suppose X1, ..., Xn are independent and identically distributed, and are normally distributed with unknown expected value μ and known variance 1. Let be the sample mean.