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Abstract In this paper, we provide a general procedure for optimally compressing N data down to n summary statistics, where n is equal to the number of parameters of interest. We show that compression to the score function – the gradient of the log-likelihood with respect to the parameters – yields n compressed statistics that are optimal in the sense that they preserve the Fisher information content of the data. Our method generalizes earlier work on linear Karhunen–Loéve compression for Gaussian data whilst recovering both lossless linear compression and quadratic estimation as special cases when they are optimal. We give a unified treatment that also includes the general non-Gaussian case as long as mild regularity conditions are satisfied, producing optimal non-linear summary statistics when appropriate. As a worked example, we derive explicitly the n optimal compressed statistics for Gaussian data in the general case where both the mean and covariance depend on the parameters.
Alsing et al. (Fri,) studied this question.