Ancillary statistic

An ancillary statistic is a measure of a sample whose distribution (or whose pmf or pdf) 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. They are also used in connection with Basu's theorem to prove independence between statistics.

This concept was first introduced by Ronald Fisher in the 1920s, but its formal definition was only provided in 1964 by Debabrata Basu.