DYNAMIC REALIZATIONS OF SUFFICIENT SEQUENCES.

Letting (U//1 , U//2 , . . . ) be a sequence of observed random variables and (T//1 (U//1 ), T//2 (U//1 , U//2 ), . . . ) be a corresponding sequence of sufficient statistics (a sufficient sequence), it is shown that under certain regularity conditions, the sufficient sequence defines the input/output map of a time-varying, discrete-time nonlinear system. This system provides a recursive way of updating the sufficient statistic as new observations are made. Conditions are provided assuring that such a system evolves in a state space of minimal dimension. Several examples are offered to illustrate how this notion of dimensional minimality is related to other properties of sufficient sequence. The results are used to verify the form of the minimum dimension (discrete-time) nonlinear filter associated with the autoregressive parameter estimation problem.