Example 3.

Let x 1 , x 2 , … x nconstitute a sample from the density with pdf as f ( x ; θ)=θ e−θx

Find the most Powerful test of size α .

Solution.

Null hypothesis H 0 :θ=θ 0

Alternative hypothesis H 1 :θ=θ 1

Likelihood function for the exponential distribution:

n −θ0 ∑ x
Under Null Hypothesis L0=θ 0 e
n −θ 1 ∑ x
Under Alternative Hypothesis L1=θ1 e

Then for the Critical Region,

n −θ 0 ∑ x
L0 θ 0 e
= ≤k
L1 θ1n e−θ ∑ x 1

( )
L0 θ0 n e−θ Σ x 0

¿ ⋅ ≤k
L1 θ1 e−θ Σ x 1

¿
L1 θ 1 ( )
L0 θ0 n −θ Σ x+θ Σ x
e 0
≤k 1

( )
n
L0 θ0 ∑ x (θ −θ )
= e ≤k 1 0

L1 θ1

Taking Logarithm on both sides of the inequality

[( ) ]
n
L0 θ
=log 0 e (
∑ x θ −θ )
≤ log k 1 0

L1 θ1

∑ x ( θ1−θ0 ) ≤ log k −nlog

( )
θ0
θ1

Divide both sides of the inequality by ( θ1 −θ0 )

∑ x≥
log k −nlog
( ) θ0
θ1
( θ 1−θ0 )
Divide both sides of the inequality by

x≥
log k −nlog ( ) θ0
θ1
=k
˙

n ( θ 1−θ0 )
˙
x≥k
Example : https://www2.math.binghamton.edu/lib/exe/fetch.php/people/renfrew/448-4-
22.pdf
Let Y 1 , … ,Y 4 be a random sample with density function defined as

1 2 − y/ θ
f ( y ;3 ,θ)= 3
y e
2θ
For y > o , θ> 0, Find the rejection region for the most powerful test for
H 0 :θ0=3 against H 1 :θ 1=6 .

Solution:
Note that the probability density function of the random variable follows a gamma density i.e
Y i G¿

α −1 − y /θ
y e
f ( y ; α , θ)= α
θ Γ (α )
−y
y 3−1 e θ 1
f ( y ; 3 , θ )= 3 = 3 y 2 e− y/ θ
θ Γ ( 3 ) 2θ
4 4 − yi
1 2
L=∏ f ( y i ;α , θ ) =∏ y e
3 i
θ

i=1 i=1 2θ

1
(− y − y θ− y − y ) ¿
1 2 3 4

L= 4 12 y 21 y 22 y 23 y 24 e ¿
2 θ
As Y 1+Y 2 +Y 3 +Y 4 =∑Y i G(3∗4=12 , β=θ0=3)

Likelihood Function under Null Hypothesis ( θ0 =3 )

1 2 2 2 2
(− y − y 3− y − y )¿
1 2 3 4

(L0 )= 4 12 y 1 y 2 y 3 y 4 e ¿
2 3
 α =3∗4=12 and β=θ 1=6

Likelihood Function under Alternative Hypothesis ( θ1=6 .)

1 2 2 2 2
( − y − y 6− y − y )¿
1 2 3 4

( L1 )= 4 12 y 1 y 2 y 3 y 4 e ¿
2 6
Then the likelihood ratio can be given as
L0 1
= 4 12 ¿ ¿ ¿
L1 2 3
L0 1
= ¿¿¿
L1 312

L0 6 12
−( y 1+ y 2 + y 3+ y 4 ) ( 13 − 16 )¿
= e ¿
L1 312

6
12
− ( y1 + y 2+ y 3 + y 4) (31 −16 )<k ¿
e ¿
312

( 13 − 16 )
( )
12
− ( y 1+ y 2+ y3 + y 4 )
3
e < k 12
6

Apply Logarithm on both sides of the inequality,

−( y 1 + y 2 + y 3 + y 4 ) ( 1 1 312
− <ln k 12
3 6 6 ) ( )
( )
−1
1 1
Multiply by the term − on both sides of the inequality.
3 6

( )( ) ( ) ( )
−1 −1
1 1 1 1 1 1 312
−( y 1 + y 2 + y 3 + y 4 ) − − < − ∗ln k
3 6 3 6 3 6 612

−( y 1 + y 2 + y 3 + y 4 ) < 6∗ln k ( ) 312

612

Multiply by (-1) on both sides of the inequality,

 ( )
12
3
( y 1 + y 2 + y 3 + y 4 ) >−6∗ln k 12
6

P ( Y 1+ Y 2+ Y 3+ Y 4 >54.62254 )=.05

Y 1 +Y 2 +Y 3 +Y 4 >54.62254