HYPOTHESIS TESTING Exercises

Answers

Exercise One

The best critical region is of the form

L(θ0 )
reject H0 if ≤ k.
L(θ1 )

(1 + θ0 )n xθi 0
Q
L(θ0 )
=
L(θ1 ) (1 + θ1 )n xθi 1
Q
 1 + θ n Y
0 (θ −θ )
= xi 0 1
1 + θ1
L(θ0 )
and L(θ1 ) ≤ k is equivalent to

1 = θ 
0
X
n ln + (θ0 − θ1 ) ln xi ≤ ln k
1 + θ1
or X
ln xi ≤ c
P
where c is such that P ( ln xi ≤ c|θ = θ0 ) = α.

The test is UMP against H1∗ : θ < θ0 .

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HYPOTHESIS TESTING Exercises

[10.101]

a.

H0 : θ = θ 0 and H1 : θ = θ 1 < θ 0
and
1 − P xi /θ
L(θ) = e
θn
so that P
1 − xi /θ0
L(θ0 ) θ0n e
= P
L(θ1 ) 1 − xi /θ1
θ1n e

and
L(θ0 )
≤k
L(θ1 )
is equivalent to
n 1
θ 
1
X 1
n ln + xi − ≤ ln k
θ0 i=1
θ1 θ0
or
n   θ  θ θ 
X xi ln k 1 1 0
≤ − ln
i=1
n n θ0 θ0 − θ1

which is equivalent to X
xi ≤ k ′ .

b.

The test statistic and critical region are independent of θ1 and so the test is
uniformly most powerful for testing H0 : θ = θ0 against H1 : θ < θ0 .

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HYPOTHESIS TESTING Exercises

[10.100]

1
H0 : λ1 = λ2 = 2 against H1 : λ 1 = , λ2 = 3
2
and
P P
xi yj −nλ −mλ
λ1 λ e1 2
L= Q2 Q where i = 1, 2, . . . , n j = 1, 2, . . . , m.
xi ! yj !

In this case P P
xi + yj −2(n+m)
2 e
L0 = Q Q
x i ! yj !

 P xi P
1
2 3 yj e−n/2−3m
L1 = Q Q
x i ! yj !

P P
L0 2 xi + yj e−2n−2m
=  P P
L1 xi
1
2 3 yj e−n/2−3m
h P i 2 P yj 
= 4 xi em−3n/2
3
and we reject H0 if
X  X  2
xi ln 4 + yj ln ≤ k ′ .
3

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HYPOTHESIS TESTING Exercises

P
Consider the test statistic X = Xi .

Under H0 , P (X = 3) = 0.0156 and P (X = 2) = 0.1406 and so an appropriate test

is to

reject H0 if X = 3
reject H0 with probability 0.24 if X = 2 and
accept H0 if X = 0, 1.

1
power = P (rejecting|θ = )
2
= P (X = 3) + 0.24P (X = 2)
     
3 1 3 3 1 3
= + (0.24)
3 2 2 2
= 0.125 + (0.24)(0.375)
= 0.215