TITLE: Sufficient statistic for normal distribution with known mean.
QUESTION [5 upvotes]: Let $X$ be from a normal distribution $N(\theta,1)$.
a) Find a sufficient statistic for $\theta$.
b) Is $S_n^2$ a
sufficient statistic for $\theta$?

My answers
For part a)
Since the joint p.d.f is $1 \over (2\pi)^{n/2}$$e^{{-1 \over 2}\sum(x_i-\theta)^2}$ I can say that $\sum X_i$   is  a sufficient statistic for $\theta$  because $e^{{-1 \over 2}\sum(x_i-\theta)^2}$ depends on X only through the values of $\sum X_i$ right? Because if I know the value of $\sum X_i$  then I know $\sum X_i^2$ as well.
For part b)
Expanding the joint p.d.f as $$\frac{1}{(2\pi)^{n/2}}e^{{-1 \over 2}\sum(x_i-\theta)^2} = \frac{1}{(2\pi)^{n/2}}e^{{-1 \over 2}\sum(x_i- \bar x + \bar x-\theta)^2} = \frac{1}{(2\pi)^{n/2}}e^{{-1 \over 2}\Big[\sum(x_i- \bar x)^2+n(\bar x-\theta)^2\Big]} = \frac{1}{(2\pi)^{n/2}}e^{{-1 \over 2}\Big[{\sum(x_i- \bar x)^2 \over n-1}n-1+n(\bar x-\theta)^2\Big]}$$
Now can I say $S_n^2$ is a sufficient statistic for $\theta$ . Is it a problem that I have $\bar x$ in the function $g(S_n^2,\theta)$?.
Because $\bar x$ is a particular value I thought $g(S_n^2,\theta)$ depends on $\theta $ only through the values of $S_n^2$.

REPLY [7 votes]: $$
\sum_{i=1}^n (x_i - \theta)^2 = \left( \sum_{i=1}^n x_i^2 \right) -2\theta \left( \sum_{i=1}^n x_i \right) + n\theta^2
$$
Therefore
$$
\exp \left( \frac {-1} 2 \sum_{i=1}^n (x_i-\theta)^2 \right) = \underbrace{ e^{-n\theta^2/2}\cdot \exp\left( \theta\sum_{i=1}^n x_i \right)}_{\large\text{first factor}} \cdot \underbrace{ \exp\left( \frac{-1} 2\sum_{i=1}^n x_i^2 \right) }_{ \large \text{second factor}}
$$
The first factor depends on $(x_1,\ldots,x_n)$ only through $\displaystyle\sum_{i=1}^n x_i.$ The second factor does not depend on $\theta.$
Therefore by Fisher's factorization theorem, $\displaystyle\sum_{i=1}^n x_i$ is sufficient for $\theta.$
(As your question now stands, it says "known mean", but "$N(\theta,1)$" means the mean is unknown and the variance is known.)