CHAPTER 2 CLASSICAL DECISion THEORY Tr ods) (Testing of Hypotheses Parametric Meth ic Methods) A jntroduction vps ond i He ae Wo contitng stent cl hype dente by Head ) aot ie ee a 90 accepted a ruc; where ps the proportion of the patents oft cured by the new drug out of those who are treated by the new drug. 1g together for quite sometime (say 19 tes, attitudes ete. Te Example 2.3: A sociologist believes that even a yyearsormore) the husband andthe wife need not have the same his belief, he asks 10 couples, who have lived together for more ‘as worthless (0), poor), average (2), good (3) and excellent (4). Th 1e responses were: Couple No. 2 ee IResponseof Husband 1 4 0 4 3 0 3 [ResponseofWife 1 1 1 2 3 0 FT 22 aitferene eof 1OW to cI Pinion betwe hoose one out vom - husbands and their wives ses? ifference of opinio between the husbands and the it wives about the pete is difference of opinion, se cxampes slated above have on comma has to accept one of thet m feature. The a "0 hypothe, y deal witha binary situation, _ ns are about the nature ofthe dian ee astive ieee aed 1 X and Y have exponential distributions Ho Hi He sacnbypteses are called“Sstibtional hypotheses In Example 2.2 the population is dichotomous, a values 1 or 0 according asa randomly chosen ind is defined by random variable X, which wakes wie where the parameter p “parametric hypothe- tn Example 2.3 it is not possible to assur ime any distribution taiedby methods which are called dstibuion-fre methodsornowracoert orn sae 's or non-parametric methods. Such do not make any assumptio set oe ote iptions about the distribution or distributions from section, we will formally define the concepts introduced abo. roduced above. ‘isastatement about the distribution of one or more random variables and forthe hypotheses. nonparat : ives rise to three kinds of hypotheses (2) parametric hypotheses (3) distibution-free 23—_~—Sss—— has nora disbation pean yt 2 30, X has a norma distin with Definition 23 : Suppose pothesis conisingo a state abnt 72 is ealled a parametric hypotesis ‘Example 25: Suppose th have MH. 0) en, the hypotheses in tohave Ni, 07) distribution. Then, = Suppose that X i 230 = 30-5 are al parametric hypotheses sher inthe distributional no in the parametric ronparametric hypotheses. Definition 24: Thee arc ypoteses wich aay We ay cll hem drain = Example cand Y be his weight Often, Let X beth eit of ks Mand ae ela 00 Traer words, one wantstoaceePt ow whee : yo: Hy: Xtand Y are independent one is interested to ‘one ofthe following Hy :X and Y are dependent foes not assume anything about distributional nor parame scenes accreted nen Sa aaa pert cu seffectie orn. Hee, oe interested in nse Png one Of the following two hypotheses. Ho : The course is ineffective Hy : The course is fective ni ion of the weighisis me assumption about the dist | jowever, if no such ‘category of parametric hypi 1, while resting the above hy ‘made, then the hypotheses fall 24 pion ae wie SNE Dem, hen enc m ion free nonparametric n free method. Such 35, 36, 3, 38, 3.9 and 3.10). Ho and the Corresponding method of ‘ nth se discussed in Chapter 3 see sections wl! nthe Pres al with parametric hy s ated _ gener DSRHUMSINOKSE Heal naem Sed nan example of Framing a Decision Rule formulated, oer reject Hi ) or ree a has to frame a decision rule in terms of the sample gata act reses and framing a deci (accept H)). To illustrate the process of formulating. ane wo MY ' "8.4 decision rule to accept one or the other we give an example. sample 24: Supnoe that 2 mochne for pring acenaintem as comin he mare, and " ‘actory is faced with the following decision problem. pecion problem Should we adopt onthe ew machine? nthis form, the decision problem is not defined in the sta ihe factory i using 2 machine which tums out tems management will like to adopt the new machine only if tis established thatthe average life of the items produced by the new machine exceeds 1200 hours. Thus the above decision problem gated in statistical terminology isto accept one ofthe following hypotheses form. Suppose, at present life of 1000 hours. The Ho: HS 1200, Hi: 4 > 1200 where |1=E(X), X being the life-length of items produced by the new machine. The management ‘wants extra 200 hours of life for the items produced by the new machine, probably because it fas considered the cost of replacement and other factors. If Ho is accepted, the management will not adopt the new machine. If Ho is rejected (ie. his accepted) the management will replace old machines by new machines. Ww do we decide to accept Hy or Hi? This amounts to framing Say (Xt, X2, ons Xn). Further, it seems reasonable, only on x¢ our decision on the value of the statistic X, since E(X) = pt. (Though orous but we proceed with the nonrigorous argument). Obviously, large Hi. Thus we decide to reject Ho if x2xo and accept Ho if x < Xo, where fall values of X, denoted by Sy is called the sample space tions Sy into two mutually exclusive sets C and A where 2X0), reject Ho and ifA iscalted the region: Fete. X 1200 ana of commiting type errs sealer nthe Fan ee il hom tak en lure. The reader is is 4 vaksss rr is advised to (beso nand aan iy tt <2 ae rocedure is better. Later (see example 1 = 66641 8, Thus, we see that the test procedure tions also. Thus, it appe the hypoth is com Foi) we will show tha Ho: MS Ho versus Hi: pt > po, ure wis the mean of a normal distribution with a kno ‘ance 0, nown variance 6, the critical region : C= (erie ad IF 2 Bo 7, ‘an optimum test of level a. amongst al defines re in any manner, the probability of committn, laken as ciritical region does not exceed the pr ; Ho and Hyal format for the nu ‘ero Pr Ahe null and the atemative hypothe: re Fe ses will be as : subsequent) rw fap versus Hp eg a oe FA. QQ eg gas The set 1 = MU 0, (0,02 and will be subsets of RIF @ if wich i elaimed and where (814 %2> at Ibe Called the parameter space. If 8 is a. single (81,02, ... Ox) then M9, 9 and wi the random sample (X: le (Xt, X2y ns Xn). Sis sar 9 int probability distribution of the ene oe caer a tis tbem sample Xn; 8) = (41, 8) £642, 8)... x0, 8), xn) € S.L@)is. (©) is also called the likelihood function of the random variable I be denoted by X based upon a random sample of size n also be noted that Ho should Be 2.3(a) + IfX is discrete, then L(8*) represents the probability of obtaining the sample 42, ~» ¥n) when @ = O°. For any subset E ofS, the probability tha : jhen @ = OF. bset E of lity that (X1, Xa, ~-5 Xn) rer angoreecting he vl ype HPS Hypothesis Testing in General xhesis (H1) willbe taken te taken as subseUs ofthe “generay ‘The ml hypothesis (Hs) an4 = OF is given by LC a2 oni O*), Which, for the sake of brevity, may be written as, L(8*). e 3(b) : If X is continuous, then PUK, X2s ve Xn) E E10 =0y=f J DRA ni) AKL on AX. 241 Certain Notation il denote random variables. “The right hand side is abbreviated as f (ii) 6 will denote the unknown parameter (ofthe dst the hypotheses about which ae tribution has several parameters denote the probability distribution of X. If X is discret iif X is continuous f will denote its probability density function E (8), fa ts ota completely specifies the distribution of X, it is called simpl posite. If Ho(Hi) is simple, then Qo (1) will be single-point aa otExample 29) ‘unknown, Then =W) and O30.0° = a simple hypothesis but His @ composie subsets. Hy is Note that Qa is a single point subset of 50 sed as one-dimensional s hypothesis, 9,21 and © may also be express ‘The general procedure of ing definition; framing a decision rule is explained in the follow ‘A-such that CUA=Sand CA =. We Definition 2.6: We parton S into two subsets Cand falls in A, we accept Ho. ‘also called the decision rule. C is cal the test and A scaled the region of acceptance (of Ho). 242 = max rm PIA C sma ! LQ), if Xis continuous, é om 160), ifXis discrete «aisalso called the sizeof the critical region C, (or the size ofthe te ? the test), If Ho is simple, ic., Ho :@ = Bo, then X2,4Xa)e C18 = 86) =f 100 i J. 1(Go) or 5) £(8.), according as X is continuous or discrete, c 23 242) 243) (24-30, 44) 245)aa FO ical region Cis 4 efined by 2B" ent Definition 2.8 The Powe function of the 8 siren ny for 0 ¥0N7188 in 02, and Will be ferns (0 epee probability 0 Now, (C161) = PCDI) : J uen-J ue =f uen-f ue coe DO aif UGe)- J 40.)|/Ka using 25-1) coe" DA 20, using (2-5-5) ‘The proof is complete. Proof of ( ft as an exercise. Remark 25: e-versa (2) The value of Ku depends upon a and vi (&) To understand the motivation for the above lemma, we have the argument : Let X be diserete-L(®o) of 61, X25» Xn) when = Bo CH Q when Hr is the probability of obtaining he critical region C L(@o) should be small for points QeC 1L(@1) should be large for points QeC 2.16 ould be \ sma OF points re: and tang for pi ims QUE’ Thi is explains asa, 84) 25-5) > PU 1 region ot critical ‘size Fegions B s (BCR ang ne Bete PB Go) =. Then iding test is called a best will be seen that in syel o, exists for e oo oe “ ‘ach @ > 0, hence bbe the: state then LR(q), the LR test of discrete random variabl a) esthen a BCR(@) may oat ec ere the case when Xis a etna ‘when the LR(@) does not exist. In such a case BCR(O) wi ‘example 2.13 + Let X be N(H, 6°) where ois known and Hy B= Bo, Hi TM Ho, ASH = Wh Gi < Ho) ind the L-R test of size the Neyman Pearson le mma, Ly) = om" e 217_—_—_ ~~ ze a.will be given by ‘The critical region C of the L-R te L¢jto)/ Ly) $ K for some K > O depending upon a. OW simpli ind Using they Hi < Howe get x ¥ & roy where no is determined by the level of significance «Thus a= PIX S xol t= Hol = pam Go= Hot yy, 6 6 apo i, (0,1). Hence we get When pt = Ho. o o Ho +B Za andthe criti rion C ofthe L-Rtest of size & is: ecaplt wot $a wich ate eset 3 of size & ove thax is aconinvous random variable hence L-R(a) exists foreach a > and Byes he BCR(o). ‘The power function for C is given by PICIW) = POR S wo + Za) a [tecin «ze P (Type Ierror) = 1 - P(C 1141) = 1-@ GE Wi + 20) ty oftype IL error can be made less than or equal to by taking (Za + Hp e219 oes placed by yn MOE Hi, However, it uses th ever it uses t Mua ey) but 2 < wedten al region of size cc for the new Hy distributed with versus 4, Parameter 2. > 0. Consi Ih aM whe he dinehon se tre likelihood function, Lh) = fl 2) 182, 2.) fle.) =heen, 6) x il LR tests given by We) « 1, whe S K, where K is given by the signifi 104) cance level o. (On simplification and using the fact’ > 2, we get » WE BEL S S so, Thus LR testis of the form: C= [C1222 15 S so), where , where so i a A afSieace fale, " expression in K, and so is determined by the ‘The power function of C P(CIA) = PISS 2.19——___—~=——esFh Kay woe Xn ae independent sample, Xv 7 parameter A Hence § = Xi 8 fag ion From the definition of random stituted random variables with the ame 5 ih istribution with parameters and A nnd so 22 S has ehsquare distri Mh 20 degrees of freedom. KCI) = Pode S DD sa\ where he represents aac Va distribution with 2n degrees of freedom, ichavingchi-squgpy ‘Thus if ais the level of significance of the test, = P(C1Ae) = Plath S ho Soh Hence so = 5h bn ‘Thus the LR test of significance level eras the exten! gion C= forsan ls Sip nel ralue of 21 (except that it us ch = a, hae hida> do, ) 2 P(BIAI) or the probat > ho, where B is any whichis the BCR(a). Note that C does not depend upon the Tact A > Ao ) Thus ifthe former Hi is replaced by the Ne Ht the same cftical region C given above isthe LR), Hence Pcl of type I error for C= probability of type I erroF for B for al trial region having the level P(BIAo) $ This et will be used later. 9 the power function of C becomes ‘Substituting the value of P(CI®) = Plidn S 2 bn) “The probability of type error for C = 1-P(C1a) = 1 Pla $ - ral 220 wee want the protrabiti YP He "SB. which can be achieved if pa 6 u hr do nip Sd Used to deter Iso illustrates that fgg SPE tat if X ig Size 1 80 that Probability of t Continuous. fandom variable, thes here yas LR(q) and hence strate that if Kis ay at sa dsr random varia 2.15 + Let p be th Yess and inthis cae BCR) won omen - % Proportion of defect 'R(q) is not unique. test the fol ive lowing hypotheses." Poduced by a production process. 1 Ho:p= 3 Versus Hi p= saingarandom sample of siz 4, We wit estigate tevels O- 'gate LR tests and best critical regions of different ‘The random variable X, characterizing th izing the cere Population of zi ion of items produced by the process can X-=0 ifthe item is nondefective X= 1 if the items is defective, px=0)=1-PPX= Np, “The point probability function of X f(x, p)= PT (=p)! x= 0,1, ‘The likelihood function ; 4 where ere s= Yai, each mis 0 | nt 221——,,, “The sample space, for spl oie 4 0) Pre(t.0Q0, PP Sm [Pom 0.0.0, Pa= (0,001) Ps different points ofS. ‘We have the following tle forthe likelihood ratio ‘Table 23 Points of S orl itis the BCR (0), 222 apsbiity FP Het for, wr ls 256° quite large t6critical reions of lve. ae "eG; AC each one Poi ets a etc region of evel nother one pin Ftc region cae P= 10.) - Wa prastevel a =) U5) = 1 ny. wie 716 SME Probability of type 1 error for Cz 1 = -PCaIp = 4) = ERCP = = 1-¥ yh _ 3 ass a 256 = 256 Cy and C2 have the same leve} Jpsth * but probability of type Mero for Ca> protbity of one-point eriical "gions the citcal region Cy has the nals prota of Pe Tenor. Now tat al hes eral gions hve he same level + 16 thus Cr is the BCR This verifies the 0, then is fact that if LR(a) exists for some ot > 0, ‘BOR(a) exists and is unique, et us consider two point critical regions C5 = [Po.Pi} has significance level a = zy uy oe $ G ‘The probability of type II error for C3, Ay _ 148 =1-D Up = 3 o as ee,The crtial regions Ca = {Po Pal. C3 = \PoPt (4b 286 probability of commiting type I ror foreach ‘of them is e904 Any other critical region of evel { watwo point critical te 1 in all 120 such critical regions. Consider Cy = {P1.Pa}, which has level type Mestr for Cy = =, Uy = ME > HEE. sity can be verified the ) = S56 > 256 critical regions other than C3, Ca, Cs, Co will have probal probabilities of type Ml ervor for C3, Ca, Cs and Co. Thus C3, Ca, Cs, Co ae 16 if we take Ka = 35, levelea= 5/16. Thus LQ but BCR) exits and isnot unique Finally itis worth nothing that 38 for aaaasan) € 3.07 C4 oF C5 08 Co x2. x3, x4) € Ag or Aa or As oF AG- Where Ai = Ci, 7 = 3.4.5.6 -The ast observation sugessthe following frm for Neynan Pearson aBCR(&), 224 the LR test obtained is Cx = (Po, Pi, Pa, Pa, P 4 = [PoP also ave level ge, andy ion and conversely. There aig 4. the probability op Nove that LR testoflevel does nat exist, because the smallest vale of Ka higher having a does not exist. This ilstates the situation that LRG) doesnot exist 1a For Finding a 2, 49) Cand prise Oo) sg Oe eee C180) = Some ey nan LEMMA. | region C Acti ever therearediffic pe points ofS Fr which ) f ere ar four best eitical 2.5, there are Regions C3, Cy, ¢, C45, Cs of evel vel PéRejecting Ho with C3 as critica vice-versa | Ho is true) pac is@ BRO) for testing Hy : 9 ind aon inten stn = 9 vers I region and Hee = 81. The proo is similar to that of ) will be call irstly there led modified LR test iS nour ‘nounique method of separating Ye Lets not obtained. In example Accepting Ho with C4 as critical region or = Plotting Ps or Pain sampling Hie ‘Thus, there is a positive probit construction of a BCR(G) using Modified LR iifficulties we adopt the Following convention, For a given @> 0, we find an LR test 8 ofthe largest ley akocallitBCR(S 62) a8 an approximat reeievel mS mand Example 2.16 + Consider ani possessing a certain characteris required to test 'BCR((S 1) and no distinction wll be made between the two in practice dichotomous universe of " ind “have-nots’. Let p be the proportion of ‘haves’ 298 }ough we know that actual BCR (<: region ofthe largest level < ct, may be different from LR(& a). He a ). Hence: Sa) th * C3 and Ca give differing decisions. Further the {esti not practical and simple. To avoid such sed haves" means(a i jer the above 1, the abe n hy: p= po vermis Hy p= pie > Po 1 variable X. with the ror iy wo universe can be dascribed by the random vat Pe te the smallest nye YY nee Zoo eoe ay | ster ech ME ata oa po (Inpey? ne. f sch case POX 1

0 Dividing by the positive constant ((1=poM(t= PDI". the above inequality reduces to the form : a? < Ki, where a= po (I-pn|/jput-Po)} cy ‘Taking logarithm, (A) reduces (© @) 5 Ina < Ink’ ‘Since p1 > po, 0 slp = Po)- distributed with parameters n and p, hence When P = Po, S jg. binomial random variabl ‘parameters n and Po: Hence « = (7) pb (I-po)" wen C= [ortea eta) 2 so, Note that C uses only the fac suis cersced BY MF P= pa, py PL» Pe and other PI P2> bo then the independent of Ps. That is, i ime Cis LR a), aa phe power function of the above crea gO Cin MCI sce $18 binomial VarQte With Parameter, PALO Lp, e59- and “ Inorder that PC9PE Ter) < Bm should be chose 1-P(CIpns B 80 large that so! oe FG) Ph pv < B 0 252) ‘The inequali a value of n, determine so satisfied, a higher value | (25-7). However an approximation to the binomial ion for n can be obtain atl fe tained (for a given 2.52 Simple Hypothesis Versus Composite Hypothesis esi (Uniformly most powerful critical regions), Letus consider the following situation : 25-8) Ho: @ =@ versus Hi: 8 € 2whe £2 as more than ne criteal region C ¢ following properties ) for every 0 © Ay and for every B such most powerful critical region of size & (y ie follows thay (@ PIC®) = & that PUB18) = « then C is called a uni in the hypothesis testing sitation &' error for C 1-P(C/81) ¢ 1-P(B181) oF probability of PE probability of type Terror for B when 8 = 6), 01 arbitrary in Qi , ie, when Hi Bhaving evel P(B 180) = © manne. Tis holds for all exiticalrestons UMPCR(@) for Ho: @= Oo Co) Very, vious from the definition tat if iS = 6 against simple hypothe, Remark 2.8. Hy: 81 itisa BCR(O) totest the: simple hypothesis Ho ‘Hi :8 = 6) forevery 61 € 2 ‘Conversely if the same er sal region C serves a8. best er region of size @ for Ho: = Q, versus Hi: @= 61 for all 0) £21 , then it a LUMPCR(a forthe situation (2.58). This. discussion indies q be obtained by using the Neyman Pearso Jemma, and (25-8), We have y, ‘Ths to find the UMPCR(O) oF the UMPCR(S @) for the following method : any point in 21, Find the criti cal regi ‘Take Ho:@ = Go and Hi :@ = 61 where Ot the same for all 61 € 221, then Cg 4, C of LR(a) or LR(S 0.) as the case may be re UMPCR(a) or UMPCR(S 0). ©), where 0? is known, Consider HoH = Ho, yey Example 2.17 : Let X be Mi ALM < Moe 228 To ind the UMPCR (ofthe 44 PCRs Hos? = Bo Yersus H S 4) in this P= Peep “SSE, We vonsider the hypothe Pi ait potheses rary bat p, ‘The LR(S 4) in the later Be nis te lo: p= Pe Ho :p= 0.20 and Hi :P>020andine eet een! Thus Cis the ample sae n= 25 he gee lon, et = 0.05. The UMPCR(< 01 R(S 0.05) il riven by C = {5 willbe given by C= {2 sd, wher soi the ee Smallest integer such that J, B (207 (8075 ¢ ons iy From the ‘UMPCR( tables, the smallest value of Ca[s29), where s is the number of defecti pres on tive items ix The i 0.087. in asa given by imple of size 25, The actual size of C Remark 2.9 : A uniformly most powerful critica mn. We hi " I re 7 wave the following example gion may not exist ina certain hypothesis Example 2.19 : Let X be i N(u.o?)o* isknown. Consider Hy: = Ho fo: W = Wo versus Hy : A # Ho. 229this situation, The proof wwation. Then Cis a BC does not exist ‘We shall show that UMPCR(@) of contradiction, Suppose that C isa UMPCR() 1" Hi # Ho. Ho: w= tho venus Hy: y= HI for (Ay is But, if fi < Ho then the LR(@) forthe st e BCR(a) for (A), and C1 = [ortsaenat) FS Ho + ah enor Cr 18 th 111 > Ho then the BCR(@) for testing (A) 1s C2 = [O12 ct) LEZ Ho Thus C=C1 = C2 orCi = C2. Thisisa contradiction. Thus there is no uniformly most powert critical region to test Ho: = Ho against Hi iit # Ho. 2.5.3. ‘The concept of a uniformly most powerful critical region ey be extended to the case ree err H,, and Ht are composite. We have the followin definition : pothesis testing situation : Definition 2.12 : Consider the hy (25-9) Ho: 0 € Qo versus Hi: 821 cach contains more than one point and Qo VO! = & Thus bor where Qo and 21 Ho and Hi are composite hypotheses. If there exists a critical region C satisfying the followin properties @ max (CIO) = & een, Gi) PC 101) = PCBIG1) for every 16:91 and for every ¢ri max P(B16) = 0 then C i e2 (UMPCR(a)) forthe situation (2.5-9)- jeorems (Theorems 2.2 an ical region provided Ho, certain conditions ané ‘al region B such sa uniformly most powerful region of size g, 1d 2.3) give the method of constructing a Hy and the density function (or the \d @ is a real parameter. However, we probability function) fx, ®) s shall need the following definition ge wive? ion has a monotone Ho: 9 $ against 1-05 6, (25-10) suppose that f(s, 8) has a monoto hood tio inthe 5 apere exists & constant K Such that the ical region istic F= Fox) 52, 4) If CH fort e2nt) | Flt. K 2a. *) = Ky satisfies the condition PLC 18) =a, + then i) _ the power function of C, P(CIe ) c eat is a strictly increasin, a met it 18 function of @ so lon Gi) Cisa UMPCR of level a = = max P(C1Q) = 0s0, P(C1.). in the situation (2. ‘situation (2.5-10). ‘Theorem 2.3: Consider ‘onsider the: hypothesis testing situation : Hy: 6 lo: 8 26> versus Hi :0 <0. 5-11) r, we make the same asst : that the critical region tumptions as in Theorem 2.2. f there exists . exists aconstant K suchisa diserete random variabl nth from Theorem 2.2, we a= POR > KI = He UMPCR(@) is C = (cra FE not Zia} ‘The power function of C is 7 =H Vp + Ziva) which 83 ly increasing function of p, Pciw = I= We give one more example. be an exponential variate i! pat of X. th parameter 2; Ho:% S Xo and Example 2.22 : Let X Hy :h > Ao» It-ean be shown tha, the fui) = eM 270 = 0, elsewhere; (A > 0) Xi +thesumof the samp has a monotone likelihood ratio inthe statistic F=-S, where S = el values. Hence from Theorem 2.2, 2 UMPCR will be of the form C= [laa IF 2 K 2.32 easy tse that PCCD) ian increasing ‘teasing function of) 0m Of Ti is verifies The: -m2.2. Further 2 max PCI = PCI) # ashe Poh, Ro) is = M Pods > 5 wna) ‘To control the the probability of type Il error when 4 = 21, one one may impose the condition 233small positive number 1h 4 where [bis some specified P hat dt Yona 2 ho KERIB aadition on n can be derived im the en Lo ming 2 =“, Note that L reas land Hy on par OMe which have higher je Pomme wath 2.6 Generalised Likelihood Ratio Test® we have scen that a uniformly most powerful critical regi vives, a antabe test ix derived by the Generalised Likelihood reasoning. We start with a simple e: in certain cases Before we state Example 2.23 : Let p be the proportion of def following hypothesis testing situation | 0.0.0) | 4,00) G49) at) Ho:p = % versus Hise = “The random variable X, defining the population has the probability distribution | j ; — 8 8 ' 1 where X = 1 if and only if the item chosen at rang. 3 8 ' vod i TC py undo J i a 1 =p) x9, pee |e Peep 2164 | 9164 | 9164 | ogy ee ‘J 364 | 364 | 3764 1164 | = 1)=pand P(X = 0) =1-P. probability function is f(x, P) =P’ PX is defective. The point Considering samples of size 3, the sample space is $= {(0,0,0), (1,0.0), 0, 1,0) (00. 1,0,1), (1.1.0), (Io a] defective and 0 denotes a nondefective. arrange the seins of Sin a anes | 9766 | 9164] og | | : ‘ede those which are more favourable to _ z i 1 1 prec He p> paae Bj ria 89 as | — 1 | 1 fet the points which are less favourable 10 Ho convenience, we use the following notations : Lo (era223) = L(xie2x3 Ho is true) = Pl(ei_12.23) is obtained | Ho is true] —allInuoduction to the theory or aaa = The nomenclature is according to Mood and Graybill - Introduction to the theory of statistics International student Edition - page 297. suggest anything, The desired order os an be obtained by writing the points e ith smaller values of should precede hose with higher values of " We consider a more general example, 238——OOOr—_——t—te uamle 2.241 Fo fre eerie, oie! 1 = Qo versus t poll where Lo = max Lp say poin proba contion 80) Letus write Q= 00, LO ana diserete random variable 1€L.9(Q) is small we would ro settle the issue We 1L(Q) is the maximum probability of obiainin eo MY Bit 6 2 Je critical region isp : ven by fine NQ) = Lo OVO). is determined by the fe ae vel ae pe cial ION ven by ne a et erased LikelINOod Rati Tey gy LRT), puget ad 2. are Functions of (x, 12, Mee. The tical region Like| os cod Rata’ defined above wi ad ett ced THQ (Qa) and if MQ1) = A(Q2) then any one (Que give an ordering forthe points of Sin precede the points which are more favourable 10 some K(O< K€ 1). It gives a suitable critical region: The which are less favourable to Ho then define C = (QH(Q)S K} value of K is determined by the level of significance: Consider the general situation Hy: 0 Qe versus Hy : £21, % VA= sgrample2.25 + Let Xb© NOHO), where gs kaoy, is . Consider Let Lo = max L{8). Lo isthe maximam probability of obtaining the point Q&x1, x ea, xa) when Hy is true in any manner. Hence the poinis for which Lo is small should go j Ho:woo. HiZH # py Critical region. However, the maximum probability ofobtainingQ for € Si may be stil sp, Hence we divide Lo by the number ecb ets WW) = Fame 2S Lo = Uo) and L = max L(y), oer L = max L(), @ = % YM aca Lis the maximum probability of obtaining Q when MQ) = LolQ)/L{Q) iss ys K),00 or 1i=pol 2K ‘To determine K, PLIX wel? wae | or PLIK= pols KIM ow when =e Kina): ame rele, Ot MN) 9 1 eS as ° KVn 1 cn 0522) = tgs nich ees nefa-} = ean Hence the critical region is 7 oy! C= erate)! Ee! 2 2-54} 2.7 Summary of Tests for Different Distributions 2.74 Notations 4 forthe sake of brevity. “The following notations have been Use Py = (eteXdvowtn), sample point [BCR(ct)=Best critical region of size 0 B1¥e0 by the Neyman Pearson Lemma (Theorem 2.1) BCR(sa) = Best critical region ofthe largest possible size cu) $ 0. UMPCR(a) = Uniformly most powerful critical region of size 0 238 p3 Tae or me mean na Gn be Nh ‘ton, when per X be NUL, Where 6 is kno the variance n cnowen col Ho: M= Worthy sy = Hee Gt < yyy C= [PulF spa & Yn | is BCR(a), Py) = © (exw o + Za), Bou) = 1- Py Bun) s Bim as 22/4, yo? Hy Case 2: Ho: = bo, H; A 2 WS po, same a Case 1 tears PCRs the set ci Further if un < 6, a ay seen that By ne) Ober i po) C= [Pal > s Wo + $F Z1-alis BCR(Q).+ dal Bat satis the sam faut io The set Co Cased ina IMPERIUM) Otber rey, 4 Case § Ho We We are the same as an Case 4 Case 6 Ho HEH > He ‘All results are same asin Case 5 (by Theorem 2.2) Case 7 Ho W= they Hi AGLRT\Gx) is C= {Pn »— yw) Vn (We py) = 1-01! 7 m 2,-taj +o poy? @ + Zia)" Buy = 1-Pu) 30s considered larg jded js and 0? are if X does not have: tis large (Cental Limit Theorem). (For practical Pl the used as approximations for any distribution Prov Henge ite and tig the tests can sample size n is large. to produce tems with a mean life of 1599 Example 226: Inthe pasta production process used 's with a mean life exceeding 1500 ho, tems produced by the new process ig = iced by the new process and the pe: ge hours. 64 items were chosen at life ofthese items was found to be 1525 hours. that the new process is betler at 5 per Cent level op (a) Do the data support the cla significance? What isthe cons Jusion if = 0.01? () 240 “The new Process will be . eg Peto be beter ifthe. the data "ects Ho at the sven level the critical ry 1525, hich fll i tion sco ow process pemecis Hence Ho ise = 2 152056, The be better UMS per ceatlevelog eres ae of of significance andthe At I per cent level ignificance Ce Hence Ho is ace Re led. Th 2 1529.1), The Percent level of sigifeasas observed value of x nificance Suppor te cla nee ae ot does ‘Claim that the new Process (0) The required probability ig when 1 = 1510, 1510) = @ (1500= 15108 100 0), the the probability of ‘commiting the error of Type 1 + 295) = (845) = 801, which is quite high. We conclude that t he sar detect # = 1510 with a bigh probability, mpl size n = 64 isnot large enough to (©) It is desired that B(I510) < 0.05 or 8 = 0: id = 005. m 2 6? Za +Zp)?/(q1 — po)? a = 0.05, 6 = 100, py = Hs = 1500, py = ‘The minimum value f= toga, Memee n> 1082-1 2.73 ‘Tests for the mean of the normal distribution when the variance is iance is unknown. 241a Cae31 Hy ot od, mol eo “The critical regions of sine cre . > in Case 2 ant “ a twins 1S Pry tom-t, ain Case WF 2 Fm vans O . a 2 hana, . Prepon wo M 1S Fa rggian OF 2 Fatma t-at in Case 3 fae Tm we '880n distributions, be esting HYPO ABOU Manga eer Probaiig fare the variances of two observed samples of size M1 ‘and m2 from the. iy respectively | on La Va eet ls PB PK then for gra (O10, ca large n hs mutica stbuion K ee (i= npi?Amp | ied (GT, 03) = POF m-tne-1 > hte tt-a) i Case 2 or P(ot, 03) = PF! $ S Fny-tarited + frequency is less than | 3 fens mire ess than 5 (Retr PUFnrtart 2 Fay-Lne-t-ga) in Case 3, iment which can pbe an experiment wi Fesultin K mutual Fevariate with mi-1,n2-1 df ” Y chr" a where Fay-t.my-1 isan F-variate with mi-1, m2 KSPI-+P2+ 0+ DK= 1. We wanttotest is lowing conditi - ‘Tohavethepower2 IB, wetakemi = mz = n, thenmnshould saisy the following condit ‘ain «nor = PPO-»PK = Pko against the akerative hypothesis Lt pa P= Og OAPs 264 265Hence we get the, Me Etch anim | 22 eon c x on Pe nM, where ei =MPi- het ae ‘Taking logarithm, we get r wae -J oe) a ‘ r-taie2, 8 @) c 22S on Ce) él elo significance, then sig There m6 ya gneois nN Masts | oh? deus, k ped (ale, we il jon isin poeta iy epeing ds ry fe ‘ 'S tre, then the postcode Estar erent shold ject, be srl Ths, 14:4 asl te be ng got equa etn eed: rete hyptess Ho: "The dis nba at percent ef spice, sin: te: =F D6 ‘Theexpected frequencies re 30 each, hence 26‘ 1 49) = 4.933 a2 = Tred = sh (2542544494300 091 et ‘The critical region is x? 2 xs = 11.07. ‘The observed value of 7 is inthe acceptance region, Therefore, we conclude thatthe gi fair. Example 2.35 : To study the effect of traffic volw time from 6AM to 9 PM was divided into five period! volumes for these periods were recorded as: sme on automobile accidents ina large city, is of three hours duration each. The tame 6 AM1t09AM : 150, 9AM to 12 noon: 75 12 noon to 3 PM: 100, 3PM to6 PM: 125 6PMto9PM_ : 150. The automobile accidents over a yearn this city were recorded as 15,6, 10; 12, 17 respective, | for the corresponding time periods. Test the hypothesis Ho : Accidents occur in proportion ty, traffic volume at 5 per cent level of significance. re i= 1,2,3,4, 5 be the proportion of accidents in the above five periods, 1, * The Solution : Let i, hypothesis is 1 Lie Dg ted zie Ho: Pl = GP2 = ge PS = GPS = 39 PS = ‘The expected frequencies are 15, 7.5, 10, 12.5, 15. Hence = 8 = 5 ~ 150 ~ 987: s = Orey/ei = i ‘The observed value of 7” is too small to reject Ho. Hence Ho is accepted. | “The above test procedure wil be used in different situations in Chapter 3. ‘Apperson, convicted of st 112! il be the “null” and the ‘A person. having no previous «- 13° ‘pg’ and the ‘alternative: py TMA recor Potheses fy, a is suspeceg . Pago, (b) - Suppose we are testing the hy "BOF exactly two silver co coins against the alternative tone that there are equal ny te Iver coins. Wice as 1 crit ‘man; tical region C as piven 2s there are gold (@) find i P CType 1 m6: IL7 », A box contains 24 balls of two different cok of the two colours ae equal in number’ versus eee ei roland bet tal and 6 black faa Five ball are drava a random from the OF more red balls are found amongst the 5 eance of this test. Also find the probability of committing the error of type: 1.8: Anum contains 6 mart Ho : @ = 3\versus Hy 269ance a? = 25619 less thy nis c a js so. ASSUME Normality ang ype UMD bet Mould the MANABEMENt decige the relevany wae ily the Pon worth Rs wnagemeny the following proc © 000, With the of ants 0 adopt rejected if's= wy > 8, otherwis data availapye Pe 9 Broce adopt it if ft “ sys: Hon the Basi of experimental day for 36 dy 5B 100: Hom type Terrors for this procedure 118 mmitted? lo ha been "ed, what type of error ay be J Hes caimed that more than 99 Regulations’ and it was decdeg ¢ th :02> 03 thecritcalregionC=[v? = JY (wrt)? 2 vijisused.Ithesignifcaney | _ students f BITS tothe following ia | level js, find the value of 03 . ay fos the probability that an item produced by a process is defective. To te, 7 Ho : p= 0.1 versus Hi : p= 0.2, the following procedure is used : A random sample o¢ 20 items is taken and Ho is rejected if the number of defectives found in the sample arg ‘4or more. Find the probabilities of committing type I and type II errors for this test, c iti yi Pen distribution with parameter 2. To test Ho : A= 0.1 versus H1:2=0,2,jhq | 120: Lets a da ritcal regions of the following procedure is used: A random sample of size 20 is taken from X and Hy ig 4 0, the L-R test of size exists al region of size ocexists (b) Forevery > 0a best eri then the L-R test of size at also exists, where cxy ifitexi region of Size yi exis. Ist unique p 3 fitexist. Determine abestcritical gue? Does a best nique? What do you lam from thispoblen? al region of size yao Aandom variable Tha the pit a say = Pre 20 0, elsewhere, al region of size 0.05 based on a sample of = 20, (Use the fact that 247 is 72). Me SE random ible Thas the pdf f(, ) = > 0° Pe™, 1 > OandO elsewhere. (L> 0) Find the best critical region of size @ to test. Ho: A= Ro against Hy :2=Ay (ht < Re) inst 1<)o). Note : Use the fact that 22 7 has a chi-square distribution wth 6 degrees of freedom. For a given answer. 132: True or al region C, Pltype I enor + PItype Il error] = 1. Give reason for 273TA3:_X has exponent Ho :d= 0.1 versus Ht A= 0.05 using a random sample of regions C satisfying NCI = for this sample size? What is the comesponding criti TL34: Let X be a random variable with the following: probability distnbution { iad [Po y 4B 2B | where is unknown, tis required to test the hypothesis Hy : B= {against hyposhesis Hi B =} Arandom, sample of size. the sample space $ of this random sample. Evaluayg ihood function at each point of the sample space S for Bat and also fap 3 B= 3. Hence find the L-R test of size 7 forthe given hypotheses and forthe Size n=2 1135; The number X of car accidents in a certain locality in tours in known fo have a Poisson 1136: distribution with parameter 2u. It is required to test Ho :2= 0.25 against Hi :2> 0.25, Ifthe observed number of accidents in an interval of 20 hours were found to be 6, wou ‘you accept or reject Ho at 5 per cent level of significance? Gi) What is the actual level of significance of the critical region you use in this case Gv) Whats the probability of type Il error for this critical region if 2 = 0.37 ‘True or False. ‘If a continuous random variable X, with pdf f(x, 0), has monotone likelihood ratio, with respect to @, in the statistic F, then a UMPCR(0) always exists foe ~ testing Ho : 8 € Qo versus Ht : 8 € 21’. Give reason. The life - length of a device has exponential distribution. In the past t mean life was 1000 hrs. It is suspected that the mean life has decreased recently. A random sample of 20 devices gave X = 900 hours. Do the data give sufficient evidence in favour of the suspicion and against the null hypothesis Ho : = 1000 hours. Use 5 per cent level of significance. 274 have Pe snow vision 4 Oe eH A> Fann to ve Ul peptone icra Von of etectivey ie ° ves and nondefeg in ae 8. Use dicho CR(S-05) fOr a sample the nee 0m, uM! S12 100K) fog = SY appro elation, con Wt panty; rh, pased upon a random sampe g yersus Hi: 2. = 8.645, and also toh Hence determine the nn random sample of size 15, Thon ratio with respect. hey 0 versus Hi 1. 10 fora al monotont tio in the sta H1:0> Go, the critical region caliente Fein, > Klis used; where k he “a I where ki is tue? Give reason: ( a+ B=! @a+p<1 (0.a+B>1 (8) None ofthese is tue, 2: Let X be N(H, 25). (0) Show that the distribution of X has a monotone likened rato in (b) Suppose we wish to test the hypothesis Ho: = 10 versus Hi : > 10. Assume that the sample size is 25, find () a UMPCR(0.05) and (i) the power function of the test in (i.Hy wed shat ONO Thao. A seed company suppl germinate. A sample of 100 seeds as indicate thatthe failure percentage fa tion. sua: xinaconinous and vail with pH F0B)= BAT Lex =0 elsewhere :B>0. (@)_ Let =InX. Show that Y has exponential istbution with parimeer 8 (8) Itisrequiredtotest Ho : B= Bo versus M1 B=B1 (Bi > Bo> 0) based upon arang, a fom X de fo fe ood Het fg situation, Use the result of part ( ind the likelihood ratiotest of size, (©) "Hence find the UMPCR(o) for testing Ho: B=Bo vers M1: > Bo based up random sample of size n from X. ma (@) Finda satstic in which the distribution of X has monotone likelihood rai y respect to. Hence state the UMPCR (a) for esting Ho: BS Bo Versus Hy in using a random sample of sie n from X. 1148: X isa continuous random variable with pdf ‘foxp)=Ba!, O0. (@) Let =~ InX. Show that Y has exponential distribution with parameter 216 2 pet VEX? Prove tary “04, "Phen gt required to " Koso ‘pat (anid the Le, sate the UMPCR(), 4 random SAME OF Sze Xi, 6 te ftom x. tH 6 versus co, Fi i in Wich 4 respect to the parameter gy, 1:08 Using anon se * sie nf 6 isin Porbased upon 08 Xhay the Moncton fi ‘UMPCR(a, foresog t ratio with e -qrestandardVria0& oF a populon om X 6: 826 vers 115% pane population has become age, 'S Glo inched? the following observations; § 7» “Arnon issu pected thatthe a5 per cxnt level. Slate the ass nance 8,9,8, Gap 29 fom 8, 6and he popu pine Sikes Tene ne st: decided that new text will be, ich Youbsve wed ice 15 Tea exam SCOrS Which have ac Peau ea 3 n| experimental ck random tt eviton iit proved hat produces Seed students (pce, An een eh With he new ext and Should the new text be adoped? 152: LetXbe No, 0, where ysis Known and & ig known, (0) Show that a best critical region for testing ing Hy of =ob vesus Hy :02=ctis given a A is by VK if ot > ob andy F< Kit ot | Celt anode SKI or 82 Ky Jo where Kx and Kz are positive real numbers x 2 where s? = Hence show that the test described in Case 3, Section 274 is only an approximate GLRT(, TSS: Let X be Nyt. 6°), where }Land 6 are both unknown, Find GLRT\ four situations the fol (a) Hy: 6 = 03 versus Mi: 0? < 63. (®) Ho: 672.03 versus Hi 07 < a3. (©) Ho: 6? = 8 verus Hi: 0? > 03. (@) Ho: 6S 68 versus Hi :0°> 3 1159: Let X be Mp, 6°), where jL and 6 are both unknown, Find GLRT(O) in the following cases: (2), Ho: =p versus Mi: Ho- (8) Ho: WS ho versus Hi: H> Ho (©) Ho: f= Mo versus Hi: H# Ho. TL60: Let X be an exponential variate with parameter A and Ho:4=ho, Hi:h # ho. Show that the GLRT is of the form C= (extn. ata) Lees Kj, where s= xi el which can be further simplified as 2.80 er ee land sa Qo = ph EO ” a TE COM ag seu and C2 be the critical * the appro Bion 0 2 versus Hy ten. Fee an A SOD then eve eee PEM TEPIOVE IB otoyigg MOEA GENE LRTIg APOE subset of 2 a ut Otto "mae GL, fcertain experimental daty eject Housing GLRT( 95), ifcertain sample data Housing GLRT(O5), Ho Sing uo 0 FS Ho wg vat Hswerthe SEGUE a bye PHO standard deviation Was found pe VINCE sy ‘Note: Use the manufacturer's claim, fn PRUChSSe? Use 0.05, now but the observed sample 3, Explain in detail, the sample siz, 6% numerical example, so that thei determination, 2s ing negay (25-7 i aignes aA 1Gby king Derive the formula, for the sample 1.04 ‘sampl ‘ze determination, sated in C ase T of Section 2.7.2, the pro | 165: Let be fhe poporion ofthe mene pose dichotomous universe Let: p= pad yp to the binomial distribution, sth | of significance isc. Show thatthe formulas theanse ge AS the same for py po | 1166: Let w be the mean of the Poisson distibution, si 6 the normal approxima Poisson dstibution, find an approximate nifermly mst power erica region of sive ato Ho against H1: 1> Ho, Find the power ofthe testi terms ofthe cdf © of the indard_ normal distribution, Hence find the sample size n sothat the probability ofthe error of second kind at = uy > py) is ess than or equal to. | 2anaan 1167: A manufacturer of bulb hours, A municipal corporation is! thatthe claim is true, An observed sa the eer produced by it Th Weighing uch can If on an ave, PHOT thay sand 1 CANS the ans produced a sample mea brewery may be sued forcheating. A random sample of 36 cas : OF TTD Ke, wth a sample standard deviation of 0.3 Kg, Do the data indies that th ‘weighing machine i tobe comected? Use c= 0.01 and 0.05. 11.68: A brewery print ‘machine attempts Kg. is putin the cans, the brewery fora course. It was realised that the oly procedure was more demanding a ‘demanding, Bu itis feared that withthe adoption of the new procedure, ‘obtain nearly the same marks and the grading may be difficult. In o be effectively dane it is necessary thatthe scoes should have exceeding 6 percent. 25 randomly selected stents were examined by the new procedure and te sample standard deviation $= 7.0 per cent was found. () Should the new procedure be adopted ? Use a= 0.05. (©) Determine the sample size n in order that a standard deviation 6 = 7 percent be detected witha probability of atleast 0.90. 1170: Suppose that the lie-ength ofa certain product obeys the exponential distribution with parameter 2. A random sample of 25 product yielded a mean life of 1068 hours, (@) Do the data provide suficent information to inter thatthe mean life of products js ‘more than 1000 hours? Use 0.= 0.5 (0) What sample size wil be needed so that a mean life of 1100 hours can be detect with a probability of at east.90? FFor large n, you may use the approximation: 72a, +N2n Za forthe purpose of sample size determination. 282 ach sbi ean) ‘of rOUUCINEINE Phas bey 4" Mag, Aeustore chi Ea en CONS asrcign et Oteoverg tt Shan 59 ce meagan tr ycieh method wll be gon he ney ct ont Sine ipod Fe sthan 50 ram ite thd of redaction ine singe pew method Ran ene rh Arman PF sand dei "ation of weights is leo pi reduced 1m F350 miligrams, Proton tit produces pls ‘sample size shoul be taken results Sample of size 30 from X gave the x0 YyHi= 7008 and YF = io3953, f a ‘Write the eitcal region given by GLRT(O 05 5, for agains 1:1 # 225,Do the gen da pon ee wees iy. stan factory it was realised that sift Inace i the average as tn ith Tagen 8 the end ofthis period i was found tha the abences per pon Ape fee ae son were 3 forthe whole (@) Would you inger from this data thatthe improved conitions bay absences? Use 0 = 005, ions have reduced the 0 Horan average absencerate of nO days peremplayee? (©) Use normal approximation to the Poisson distribution to determine the sample size hich is sufficient to detect an average absence of 2 in 40 days per employee witha probability of at least 0.9? (Here the sample size means the number of days for which the data has to be recorded), 283(a) Doshe data give sufficient evidence to accept the claim? Use a= 0.05 0) What sample size wil detec am incidenee of 28 pr cent wih probability fat ogy 997 Use normal approx the binomial distribution. 1176: Let p be large dichotomous population. To fey region ofthe following form {a) For the sample size n = 20, find so so that the level does not exceed .05. Find thy our So. Find also the probability of type I error When (6) Form=50 ind susing normal approximation for = 05 IL77: In the past a production process used to produce items with proportion of defect, ‘$0.1. Is suspected tha the p value has increased. To test the rele following procedure is proposed: A random sample of number X of defective items found: the null hypoth otherwise it willbe accepted. What is the level of sigaificance of tf ‘probability of committing type I eror when p= 0.2? Determine asa level of significance is at most 0.05 and the probability of committing type IL error Whey ‘p=0.2isless than or equal t6 05. Use suitable approximation if necessary. 786) Let Xte Nu. 6, whee} and ae boh unknown, Consider Ho = Wy vers ‘Hy :}1#Ho. Assume that a GLRT will be of the form Geno : C= [lat 00 where t= Determine ty if the level of significance is @. State the theorem you use in this (©) The mean ofa random variable X is required to be 710.10, Independent determing. tions of X were made wit the following rests: 705,701, 709, 704,713, 716, 05, | 284 | ut yin 08 este where gf. O) o @ si) X and Y be independent an Om va ed Let Ho:BSH2 and yy "72 Proy, tn 2 2-0 Mh og lm Pe y\E enfin M™PIES. Further Hint: Take the two sample a irom) edutof he ietinood problem on contained hich te "te thax iis ‘Also show that, for the hypothe HB < HO, the GLRT( sg, ae testing Stam Hon Hos 2yo versus ‘again show that Unin-212 tasm-2.-te, What willbe the GLRT(0 for Hy ys

yo? Derive the GLRT(0 for Hm. = versus iy X be Let X be NUL. of) and Y be Nu, oy where X and Y are independent, and 1s p2, oF and of ae uhsomn. 14%, Xe end,Yn tree Ya. Y atom samples of sizes n and m from X and . ‘two samples is defined as: Y respectively, te lkelihood function ofthe Aeb=y ie Lyigeot.od cae ong 2 a cyt fe expt D O-wa ash Consider Hy: ot =o} versus it :of +04 ‘Show that 4=AF!/(BF+1)"™"””, where A and B are certain postive constants and hy 285Vv able to ask Whether yer Aiden Fe s}/s3, the rato of sample variances. Draw the graph of AUP as ‘Show that As K F 1 always (D) none ofthese; where t= PCype Teron), B= Pctype Il error. 287