PSTAT 120B, Winter 2016

Homework 8 (with solutions)

(Nothing to Hand-in)

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1. Let X1 , X2 , . . . , Xn N (, 2 ), where is unknown. Consider the following test:

H0 : 2 = 02
Ha : 2 6= 02
Test statistic : 2 =

(n 1)S 2
02

Rejection region : 2 > 2/2 or 2 < 2/2

so that 2 is chosen so that, for = n 1 df, P(2 > 2 ) = . Show that the likelihood ratio test is equivalent
to the 2 test stated above.
Joint likelihood of the data respect to unknown parameters (, ) is
n
Y

L(, ) = L(x1 , x2 , . . . , xn | , ) =

f (xi | , ),

i=1

where f is pdf of Gaussian distribution. Note that that

0 = {(, ) | R, = 0 }

= {(, ) | R, > 0}

and

0 ) = L(
= L(
Therefore, L(
x, 0 ) and L()
x,
) where the MLE
2 for 2 is
n

1X
(xi x
)2

=
n i=1
2

according to Example 9.15 (page 478)a .

Therefore, likelihood ratio is
=

0)
L(
L(
x, 0 )
=
.

L(
x,
)
L()

Numerator of likelihood ratio is

L(
x, 0 ) =

 P



)2
1
1
n
2
i (xi x
exp

=
exp

202
202
(202 )n/2
(202 )n/2

Denominator of likelihood ratio is

 P

n no
)2
1
1
i (xi x
L(
x,
) =
exp

=
exp

2
2
2
(2
2 )n/2
(2
2 )n/2
Therefore, likelihood ratio is
0)
L(
=
=

L()

1
2
exp n
202
(202 )n/2


1
exp n2
(2
2 )n/2

=e

n
2

2
02

 n2



n
2
exp
2 02

Rejection region is
0

{ < k } =

(

2
02

 n2

n
2
exp
2 02


0 n
2

<ke

(
=

2
02

 n2

n
2
exp
2 02



<k

PSTAT 120B, Winter 2016

Homework 8 (with solutions)

(Nothing to Hand-in)

for some k. Rejection region is a function of w =

2 /02 :
n

(w) = w 2 e

nw
2

For example, plot of (w) when n = 10 looks like this:

103

(w)

6
k
3

k1

2
w

k2

Hence, rejection region corresponding to {(w) < k} implies we want to reject H0 if

 2


2
{w < k1 or w > k2 } =
< k1 or 2 > k2
2
0
 0

2
(n 1)S 2
(n

1)S
2
2
< nk1 or =
> nk2
= =
02
02
n
o
= 2 < 21/2 or 2 > 2/2
for some k1 and k2 . Note the use of relation
2 = (n 1)S 2 /n and choosing nk1 and nk2 such that tail
probabilities are symmetric. Hence, the likelihood ratio test statistic reduces to determining appropriate
k1 and k2 for a 2 r.v. with (n 1) degrees of freedom. Therefore, the likelihood ratio test is equivalent
to 2 test stated above.
a Note

that this is biased. Unbiased estimator is in Definition 1.2 (page 10).

iid

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2. Let X1 , X2 , . . . , Xn N (1 , 2 ) and Y1 , Y2 , . . . , Ym N (2 , 2 ) with known variance 2 . Consider the

following test:
H0 : 1 = 2
Ha : 1 6= 2
Y
X
Test statistic : Z = n

Rejection region : z > z/2 or z < z/2

We choose z/2 such that P(Z > z/2 ) = using standard normal.
Show that likelihood ratio test reduces to the test stated above.
We saw in Lecture 18 examples that likelihood ratio is


n(
x y)2
= exp
4 2

PSTAT 120B, Winter 2016

Homework 8 (with solutions)

and LRT rejection region is



n(
x y)2
0
<k
{ < k } = exp
4 2


0
n(
x y)2
< ek
=
2
4
)
( 
2
0
x
y
> 4ek
= n



|
x y|
=
n
>k



x
x
y
y
=
n
> k or n
< k

for some constant k > 0.

and Y follow normal distributions:
Sample means X




2
2
N 1 ,
and Y N 2 ,
X
n
n
Therefore, under H0 , we have 1 2 = 0, hence,
Z=

Y ) (1 2 ) X
Y
(X
n
= n
N (0, 1)

So, we can select k to be z/2 so that

P(|Z| > z/2 ) = .
Hence, the likelihood ratio test is equivalent to the test given.

(Nothing to Hand-in)