Stat 463

Testing 4: Ch. 8.2., 6.3., 8.3.

8.2. Uniformly Most Powerful (MP) Test

Definition The critical region C is a uniformly most powerful critical region of size for testing the simple hypothesis
H0 against an alternative composite hypothesis H1 if the
set C is the best critical region of size for testing H0
against each simple hypothesis in H1. A test defined by
this critical region C is called a uniformly most powerful
(UMP) test with significance level , for testing the simple
hypothesis H0 against an alternative composite hypothesis H1.
Note:
1. No guarantee of existence (B8.2.3)
2. If it does, use the N-P theorem.
iid

Ex(B8.2.2.) X1, , Xn N (0, ).

H0 : = 0

vs

H1 : > 0

For any value 00 > 0, the MP-test (of size ) is

Stat 463

Testing 4: Ch. 8.2., 6.3., 8.3.

Definition A likelihood function L(; x1, , xn) is said to

have a monotone likelihood ratio (MLR) in the statistic
Y = u1(X1, , Xn) if for any two values of the parameter, 1 < 2, the ratio
L(1; x1, , xn)
L(2; x1, , xn)
depends on (x1, , xn) only through the function y =
u(x1, , xn), and this function is a monotone function
of y = u(x1, , xn).
Theorem If a likelihood function has a monotone decreasing likelihood ratio in the statistic Y = u(X1, , Xn),
then a UMP test of size for
H0 : 0

vs

H1 : < 0

is to reject H0 if y = u(x1, , xn) cY

where P {Y = u(X1, , Xn) c; 0} = .
and, a UMP test of size for
H0 : 0

vs

H1 : > 0

is to reject H0 if y = u(x1, , xn) cY

where P {Y = u(X1, , Xn) c; 0} = .
1

Stat 463

Testing 4: Ch. 8.2., 6.3., 8.3.

Ex(B8.2.5.) X1, Xn Bernoulli(), 0 < < 1.

H0 : 0

vs

H1 : > 0

Ex(P8.2.5.) Continued from B8.2.2.

Stat 463

Testing 4: Ch. 8.2., 6.3., 8.3.

Sufficient Statistic and Monotone Likelihood Ratio

Let Y = u(X1, Xn) be a sufficient statistic. Then
L(0 : x1, , xn)
=
00
L( : x1, , xn)

k1[u(x1, , xn) : 0]
.
=
k1[(x1, , xn) : 00]

Exponential Family and Monotone Likelihood Ratio

Let f (x : ) be in the regular exponential family. Then
f (x : ) = exp [p()K(x) + S(x) + q()]
and the likelihood ratio is
L(0 : x1, , xn)
L(00 : x1, , xn)
=
= exp

p(0) p(00)

n
i X

K(xi) + n q(0) q(00)

i=1

Ex: P8.2.8., 8.2.11.

Stat 463

Testing 4: Ch. 8.2., 6.3., 8.3.

Likelihood Ratio Test (Ch. 6.3., 8.3.)

May not be the optimal test such as MP or UMP but it is
the one of most popular test and has desirable properties
in most cases.
Let us consider the general hypotheses, for ,
H0 :

vs

H1 : c

Consider the two estimated likelihood functions of L( ),

is the value of L( ) when m.l.e.s of is used under .
L()
L(
) is the value of L( ) when m.l.e.s of is used under .
Defining the Likelihood Ratio
L(
)
(x1, , xn) =

L()
and the size LRT is defined as rejecting H0 if
< 0 ,
where 0 satisfies
max P [ < 0] = .

(x1, , xn) 1.
If the H0 is true, it is close to 1.
4

Stat 463

Testing 4: Ch. 8.2., 6.3., 8.3.

2 ln under H0 approximately follows a chi-squared

distribution with degree of freedom k, where k =number
of parameters estimated under number of parameters
estimated under .
iid

Ex: Two-Sided Test X1, , Xn N (1, 2). The parameter space for (1, 2) is
= {(1, 2) : < 1 < , 0 < 2 < }
H0 : 1 = 0 , 2 > 0 vs

H1 : 1 6= 0 , 2 > 0

If we define = {(1, 2) : 1 = 0 , 0 < 2 < } then

H0 : (1, 2)
The likelihood functions [probabilities] of X1 = x1,
Xn = xn under and (orH0) are

L() =

1
22

!n/2

#
Pn
2
(xi 1)
i=1
exp
,
22
"

and

L() =

1
22

!n/2

"

#
Pn
2
xi
i=1
exp
.
22

If the null hypothesis is true, we can expect that the probability L() is large.
5

Stat 463

Testing 4: Ch. 8.2., 6.3., 8.3.

Note that L() and L() are not calculable due to the
and
unknown values of 1 and 2. Thus, we use L()
L(
) to do the test and
"P

(x1, , xn) =

#n/2
n (x x
2
)
i=1 i
Pn
2
i=1 xi

1
=n
ion/2 .
h
P
1 + n
x2/ n
)2
i=1 (xi x
We are going to reject H0 if this is less than a certain
constant 0.(LRT). It is equivalent to reject H0 if

n
x
2/n

1)
qP
(n 1)(0

n (x x
2
) /(n 1)
i=1 i
=c
If is given, we can derive the value for the c using the
fact that

nX
t(X1, , Xn) = qP
n (X X)
2/(n 1)
i
i=1
has a t-distribution with degree of freedom n 1, under
the H0. That is,
= P r{|t(X1, , Xn)| c; H0}
6

Stat 463

Testing 4: Ch. 8.2., 6.3., 8.3.

Example: B6.3.1., P6.3.8., B8.3.1., P8.3.6.