STATISTICAL INFERENCE

PART VI
HYPOTHESIS TESTING

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 TESTS OF HYPOTHESIS
• A hypothesis is a statement about a
population parameter.

• The goal of a hypothesis test is to decide

which of two complementary hypothesis is
true, based on a sample from a population.

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 TESTS OF HYPOTHESIS
• STATISTICAL TEST: The statistical procedure
to draw an appropriate conclusion from
sample data about a population parameter.
• HYPOTHESIS: Any statement concerning an
unknown population parameter.
• Aim of a statistical test: test a hypothesis
concerning the values of one or more
population parameters.

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 NULL AND ALTERNATIVE HYPOTHESIS
• NULL HYPOTHESIS=H0
– E.g., a treatment has no effect or there is no
change compared with the previous situation.
• ALTERNATIVE HYPOTHESIS=HA
– E.g., a treatment has a significant effect or there is
development compared with the previous
situation.

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 TESTS OF HYPOTHESIS
• Sample Space, A: Set of all possible values of sample
values x1,x2,…,xn.
(x1,x2,…,xn) A
• Parameter Space, : Set of all possible values of the
parameters.
 =Parameter Space of Null Hypothesis Parameter
Space of Alternative Hypothesis
 = 0   1

H0:0
H1: 1

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 TESTS OF HYPOTHESIS
• Critical Region, C, is a subset of A which leads
to rejection region of H0.
Reject H0 if (x1,x2,…,xn)C
Not Reject H0 if (x1,x2,…,xn)C΄
• A test defines the critical region.
• A test is a rule which leads to a decision to fail
to reject or reject H0 on the basis of the
sample information.
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 TEST STATISTIC AND REJECTION
REGION
• TEST STATISTIC: The sample statistic on which
we base our decision to reject or not reject
the null hypothesis.
• REJECTION REGION: Range of values such
that, if the test statistic falls in that range, we
will decide to reject the null hypothesis,
otherwise, we will not reject the null
hypothesis.

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 TESTS OF HYPOTHESIS
• If the hypothesis completely specify the
distribution, then it is called a simple
hypothesis. Otherwise, it is composite
hypothesis.
• =(1, 2)
H0:1=3f(x;3, 2)
Composite Hypothesis
H1:1=5f(x;5, 2)
If 2 is known, simple hypothesis.
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 TESTS OF HYPOTHESIS
H0 is True H0 is False

Type I error
Reject H0 P(Type I error) =  Correct Decision
1-

Type II error
Do not reject H0 Correct Decision
1- P(Type II error) = 

Tests are based on the following principle:

Fix , minimize .
()=Power function of the test for all .
= P(Reject H0)=P((x1,x2,…,xn)C)
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 TESTS OF HYPOTHESIS
    PReject H 0 H 0 is true 
 0
 PType I error     
Type I error=Rejecting H0 when H0 is true
max
 0
     max. prob. of Type I error
    PReject H 0 H1 is true 
 1
 1  PNot Reject H 0 H1 is true   1    
max
 1
       max. prob. of Type II error
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PROCEDURE OF STATISTICAL TEST

1. Determining H0 and HA.

2. Choosing the best test statistic.
3. Deciding the rejection region (Decision
Rule).
4. Conclusion.

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HOW TO DERIVE AN APPROPRIATE
TEST

Definition: A test which minimizes the

Type II error (β) for fixed Type I error
(α) is called a most powerful test or
best test of size α.

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 MOST POWERFUL TEST (MPT)
H0:=0 Simple Hypothesis
H1:=1  Simple Hypothesis
Reject H0 if (x1,x2,…,xn)C
The Neyman-Pearson Lemma:
 L0  
C   x1, x2 ,, xn  :  k
 L1  
L0 
Reject H0 if L  k
L1  Proof: Available in
text books (e.g.

  PL  k    0   k Bain &

Engelhardt, 1992,

  1  PL  k   1 
p.g.408)
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 EXAMPLES
• X~N(, 2) where 2 is known.
H0:  =  0
H1:  =  1
where  0 >  1.
Find the most powerful test of size .

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 Solution
n
1 1
L(  | X )  (
2 
) n exp{  
2 2 i 1
(X i   ) 2 } for  0

L( 1 | X ) 1 n
L(  0 | X )
 exp{  
2 i 1
2
[( X i  1 ) 2
 ( X i   2
0 ]}
)

n
1
 exp{   i 0 1
[ 2
2 2 i 1
X (    )  ( 1
2
  2
0 )]}  k

2 2 ln k
 2 X  ( 1  0 )  sin ce 0  1
n ( 0  1 )
 2 ln k (   1 )
X  0 c
n ( 1  0 ) 2

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 Solution, cont.
• What is c?: It is a constant that satisfies
X  0 c  0
  P( X  c |  0 )  P(  )
/ n / n

c  0  Z
n
since X~N(, 2).
For a pre-specified α, most powerful test says,
Reject Ho if 
X c  Z 0 
n
X  0
   Z

n
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 Examples
• Example2: See Bain & Engelhardt, 1992,
p.g.410 Find MPT of
Ho: p=p0 vs H1: p=p1 > p0
• Example 3: See Bain & Engelhardt, 1992,
p.g.411 Find MPT of
Ho: X~Unif(0,1) vs H1: X~Exp(1)

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UNIFORMLY MOST POWERFUL (UMP) TEST
• If a test is most powerful against every possible value in a
composite alternative, then it will be a UMP test.
• One way of finding UMPT is to find MPT by Neyman-
Pearson Lemma for a particular alternative value, and
then show that test does not depend on the specific
alternative value.
• Example: X~N(, 2), we reject Ho if
X  0
  Z
Note that this does not depend on

n
particular value of μ1, but only on the
fact that  0 >  1. So this is a UMPT of H0:  = 0 vs H1:  <  0.

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UNIFORMLY MOST POWERFUL (UMP)
TEST
• To find UMPT, we can also use Monotone
Likelihood Ratio (MLR).
• If L=L(0)/L(1) depends on (x1,x2,…,xn) only
through the statistic y=u(x1,x2,…,xn) and L is an
increasing function of y for every given 0>1,
then we have a monotone likelihood ratio (MLR)
in statistic y.
• If L is a decreasing function of y for every given
0>1, then we have a monotone likelihood ratio
(MLR) in statistic −y.
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UNIFORMLY MOST POWERFUL (UMP)
TEST
• Theorem: If a joint pdf f(x1,x2,…,xn;) has MLR
in the statistic Y, then a UMP test of size 
• for H0:0 vs H1:>0 is to reject H0 if Yc
where P(Y c0)=.
• for H0:0 vs H1:<0 is to reject H0 if Yc
where P(Y  c0)=.

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 EXAMPLE
• X~Exp()
H0:0
H1:>0
Find UMPT of size .

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 EXAMPLE
• Xi~Poi(), i=1,2,…,n
Determine whether (X1,…,Xn) has MLR property.
Find a UMP level α test for testing H0:=0
versus H1:<0.

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GENERALIZED LIKELIHOOD RATIO TEST
(GLRT)
• GLRT is the generalization of MPT and
provides a desirable test in many applications
but it is not necessarily a UMP test.

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GENERALIZED LIKELIHOOD RATIO TEST
(GLRT)
H0:0
H1: 1
r .s.
L   f  x1, x2 ,, xn ;   f  x1; , f  x2 ; ,, f  xn ; 

Let Lˆ   max L   Lˆ  and

 
MLE of 

ˆ 0   max L   Lˆ0 

L
 0
MLE of  under H0

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GENERALIZED LIKELIHOOD RATIO TEST
(GLRT)


ˆ
L 
0  The Generalize d Likelihood Ratio
Lˆ 
GLRT: Reject H0 if 0

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 EXAMPLE
• X~N(, 2)
H0:  = 0
H1:   0
Derive GLRT of size .

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 EXAMPLE
• Let X1,…,Xn be independent r.v.s, each with
shifted exponential p.d.f.:
1
f ( x |  ,  )  exp{( x   ) / }I[ , ] ( x)


where λ is known.
Find the LRT to test H0:=0 versus H1:>0.
 ASYMPTOTIC DISTRIBUTION OF −2ln
• GLRT: Reject H0 if 0
• GLRT: Reject H0 if -2ln>-2ln0=c
under H 0
 2 ln  ~  k2
asympt.

where k is the number of parameters to be

tested.

Reject H0 if -2ln>  ,k
2

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 TWO SAMPLE TESTS
X ~ Bin n1, p1 , r.s.
Y ~ Bin n 2 , p 2 , r.s.
H 0 : p1  p 2  p0
H1 : p1  p 2

Derive GLRT of size , where X and Y are

independent; p0, p1 and p2 are unknown.

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