It was established in 1933 by Prasanta Chandra Mahalanobis, founding director of ISI, along the lines of Karl Pearson's Biometrika.

[2] Each volume of Sankhya consists of four issues, two of them are in Series A, containing articles on theoretical statistics, probability theory, and stochastic processes, whereas the other two issues form Series B, containing articles on applied statistics, i.e. applied probability, applied stochastic processes, econometrics, and statistical computing.

A third series, Series C, was added in 1974 and covered sample surveys and quantitative economics in alternating issues.

In 2003, Series A and B were recombined into a single journal, but then split again in 2008.

ISI began publishing Sankhya A and B via Springer in 2010.