Math 152.

Rumbos

Fall 2009

Solutions to Assignment #13

1. Consider a test of the simple hypotheses
H : =

versus H1 : = 1

based on a random sample from a distribution with pmf ( ), for =

1, 2, . . . , 7. The values of the likelihood function at and 1 are given in the
table below.
1

( ) 0.01
(1 ) 0.06

2
0.01
0.05

3
0.01
0.04

4
0.01
0.03

5
0.01
0.02

6
0.01
0.01

7
0.94
0.79

Use the NeymanPearson Lemma to nd the most powerful test for H versus
H1 with signicance level = 0.04. Compute the probability of Type II error
for this test.
Solution: Table 1 shows the values of the likelihood ratio statistic
in the third row. Observe that if we let = 1/3 and the region
dened by , then
= P( 1/3 = ) = 0.04.
Thus, by the NeymanPearson Lemma, the test that rejects H if
1

( )
0.01
0.06
(1 )
( )/(1 ) 1/6

2
0.01
0.05
1/5

3
0.01
0.04
1/4

4
0.01
0.03
1/3

5
0.01
0.02
1/2

6
7
0.01 0.94
0.01 0.79
1
1.19

Table 1: Likelihood ratios

( )
1

(1 )
3
is the most powerful test at signicance level = 0.04.
The power of the test is
(1 ) = P( 1/3 = 1 ) = 0.18.
Thus, the probability of a Type II error is 1 (1 ) = 82%.

Math 152. Rumbos

Fall 2009

2. Let 1 , 2 , . . . , be a random sample from a Poisson() distribution.

(a) Find the most powerful test for testing
H : =

versus H1 : = 1 ,

for 1 > .
Solution: According to the NeymanPearson Lemma, the most
powerful test is the LRT. To nd the LRT rejection region, we
rst compute the likelihood ratio statistic
(1 , 2 , . . . , ) =
where

for =

( 1 , 2 , . . . , )
,
(1 1 , 2 , . . . , )

( 1 , 2 , . . . , ) =
,
1 !2 ! !

(1)

=1

We then have that

1
(1 , 2 , . . . , ) = 1 =
1

= ,

where we have set = 1 / and = /1 .

Since, 1 > , > 1 and < 1.
The rejection region of the LRT is
:

(1 , 2 , . . . , ) ,

for some (0, 1) determined by the signicance level of the test,

or
,
(2)

where =
.
=1

Taking the natural logarithm on both sides of the inequality in

(2), we obtain
ln + ln ln ,
from which we get that

ln ln
> 0.
ln

Math 152. Rumbos

Fall 2009

Thus, the LRT rejects H if

,
for some > 0, where =

(3)

=1

(b) Show that the test found in part (a) is uniformly most powerful for testing
H : =

versus H1 : > .

Solution: Fix in (3) so that P( > ) = , where

Poisson( ). Note that this value of depends only on and
. Furthermore, by the result of part (a), the test that reject
H : = versus H : = 1 , if
,
is the most powerful test at level for every 1 > . It then
follows that the test that rejects H if
,
is the uniformly most powerful test of H versus H1 : > .
3. Given a random sample, 1 , 2 , . . . , , from a distribution with distribution
function ( ). We say that a statistic = (1 , 2 , . . . , ) is sucient
for is the joint distribution (1 , 2 , . . . , ) can be written in the form
(1 , 2 , . . . , ) = (, )(1 , 2 , . . . , ),
for some functions : 2 and : .
Let 1 , 2 , . . . , be a random sample from a Poisson() distribution. Find
a sucient statistic for . Justify your answer based on the denition given
above.
Solution: According to (1) int he solution to part (a) of Problem 2
in this assignment, the likelihood function in this case is
( 1 , 2 , . . . , ) = (, )(1 , 2 , . . . , ),
where
(, ) = ,

Math 152. Rumbos

Fall 2009

(1 , 2 , . . . , ) =
and
=

1
,
1 !2 ! !
.

=1

It then follows that =

is a sucient statistic for . Observe

=1

that =

1
is also a sucient statistic for .

4. Suppose that 1 , 2 , . . . , forms a random sample from distribution with

distribution function ( ).
(a) Show that if is a sucient statistic for , then the likelihood ratio statistic
for the test of
H : = versus H1 : = 1
is a function of .
Solution: In this case, the likelihood function is
( 1 , 2 , . . . , ) = (, )(1 , 2 , . . . , )
for all possible values of the parameter . It then follows that the
likelihood ratio statistic is
(1 , 2 , . . . , ) =

(, )
,
(, 1 )

which is a function of .

(b) Explain how knowledge of the distribution of under H may be used to

choose a rejection region that yields the most powerful test at level .
Solution: Knowing the distribution of , assuming that the null
hypothesis is true, it is possible to nd a value, , for , such that
(
)
(, )
P
= .
(, 1 )
The LRT rejection region is then given by
:

(, ) (, 1 );

that is, if the value of given by the sample falls in the region ,
the null hypothesis is rejected.

Math 152. Rumbos

Fall 2009

5. Derive a likelihood ratio test for

versus H1 : 2 = 2

H : 2 = 2

based on a sample from a normal(, 2 ) distribution.

Solution: The likelihood ratio statistic is
sup (, 1 , 2 , . . . , )
(1 , 2 , . . . , ) =

(
,
1 , 2 , . . . , )

(4)

where
and
2 are the MLEs for and 2 , respectively; That is,

1
,

==
=1
and

=
( )2 .
=1
2

When we maximize (, 1 , 2 , . . . , ) over we obtain

that = . It then follows from (4) that
(1 , 2 , . . . , ) =

(
, 1 , 2 , . . . , )
,
(
,
1 , 2 , . . . , )

(5)

where
(, 1 , 2 , . . . , ) =

1
(2)/2

=1 ( )

2 /2 2

for and > 0. We then have from (5) that

( ) ( )2 /22

=1

(1 , 2 , . . . , ) =
2
2

=1 ( ) /2
(
=

= /2 /2 /2 ,
where we have set =

2
.
2

/2
/2

Math 152. Rumbos

Fall 2009

We then have that

(1 , 2 , . . . , ) = ( )
where is the statistic

1
( )2 ,
=
2 =1

(6)

0.0

0.2

0.4

g(t)

0.6

0.8

1.0

and () = /2 /2 /2 . Observe that has a 2 ( 1) distribution when the null hypothesis is true. Observe also that () has a
graph like the one sketched in Figure 1. It then follows that for any

Figure 1: Sketch of graph of () for = 10 and 0 4

(0, 1), there exists 1 and 2 such that 0 < 1 < 1 < 2 and
(1 ) = (1 ) = .
Furthermore,
() for 1 or 2 .

Math 152. Rumbos

Fall 2009

We then have that the LRT rejection region,

:

(, 2 , . . . , ) ,

can be expressed in terms of the statistic in (6) as

:

1 or 2 .

The LRT rejection region can also be expressed in terms of the sample
variance, 2 , as follows
2

1 2
1 2
1 or 2
2 ,

for 0 < 1 < 1 < 2 , or, equivalently,

:

2 2 1 or 2 2 + 2 ,

for some positive values of 1 and 2 determined by the signicance

level of the test.