MATHEMATICAL STATISTICS Tutorial Exercises 10 Answers

Question 1

The likelihood ratio test rejects the null hypothesis if

L(ω̂)
≤ λ0
L(Ω̂)

where λ0 is chosen to make the size of the critical region α.

In this case, we have

n+m 1 hX X i
ln L(Ω) = − ln 2πσ 2 − 2 (xi − µ1 )2 + (yi − µ2 )2
2 2σ

with

∂ ln L(Ω) 1 X
= 2 (xi − µ1 )
∂µ1 σ

∂ ln L(Ω) 1 X
= 2 (xi − µ2 )
∂µ2 σ

∂ ln L(Ω) n+m 1 1 hX 2
X
2
i
= − + (x i − µ 1 ) + (y i − µ 2 )
∂σ 2 2 σ2 2σ 4

to give

1 hX X i
µ̂1 = x̄ µ̂2 = ȳ σ̂ 2 = (xi − x̄)2 + (yi − ȳ)2
m+n

and with the appropriate results for L(ω) the test reduces to rejecting the null
hypothesis if

(n − 1)S12 + (m − 1)S22
>c
σ02

where the constant c is the appropriate critical point of a χ2 distribution to make

the size of the test α.
Question 2
H0 : θ 1 = θ 2 H1 : θ1 6= θ2

P P 
1 m+n − θ
1
x i + yi
L(ω) = e 1
θ1

1 m − θ1 P xi 1 n − θ1 P yi
L(Ω) = e 1 e 2
θ1 θ2

1 X X 
ln L(ω) = −(m + n) ln θ1 − xi + yi
θ1

∂ ln L(ω) 1 1 X X

= −(m + n) + 2 xi + yi
∂θ1 θ1 θ1

and the derivative is equal to zero if

P P
x i + yi
θ̂1 =
m+n

and then

 m + n m+n
L(ω̂) = P P e−(m+n)
x i + yi
 1 X 1 X
ln L(Ω) = −m ln θ1 − xi − n ln θ2 − yi
θ1 θ2

∂ ln L(Ω) m 1 X ∂ ln L(Ω) m 1 X
=− + 2 xi and =− + 2 yi
∂θ1 θ1 θ1 ∂θ2 θ2 θ2

and these derivatives are zero if

P P
xi yi
θ̂1 = and θ̂2 =
m n

so that

m
m −m n
n −n
L(Ω̂) = P e P e
xi yi

L(ω̂)
λ=
L(Ω̂)

m + n P m  m + n P
xi yi n
= P P P P
m x i + yi n x i + yi

x̄m ȳ n
= mx̄+nȳ m+n


m+n

and the likelihood ratio test rejects H0 if

X̄ m Ȳ n
≤ λ0
mX̄+nȲ m+n


m+n

where λ0 is chosen to make the size of the critical region α.