An UMP Test for the Mean of a Normal Distribution

Stat 305 Spring Semester 2006

A random sample of size n is taken from a normal random variable X with unknown
mean but with known variance 2 . Formulate H0 and H1 as follows.

H0 : = 0
H1 : > 0

We would like to devise a UMP test for the above set of hypotheses. To do this, let us …rst
devise a test for the following set of simple hypotheses where 1 > 0 .

H0 : = 0
H1 : = 1

We will apply the Neyman-Pearson Lemma to this set of simple hypotheses.

Recall that the likelihood function evaluated at is
!
1 X xi
n n 2
1
fX (x1 ; :::; xn j ) = p exp .
2 2 i=1

Therefore, we will reject H0 if

n P
n
xi 2
p1 exp 1 0
fX (x1 ; :::; xn j 2 2
0) i=1 1
= < .
fX (x1 ; :::; xn j 1)
n Pn
xi 2 k
p1 exp 1 1
2 2
i=1

Therefore, simplifying, we reject H0 if

!!
1 X
n X
n
1
2 2
exp 2
(xi 0) (xi 1) < .
2 i=1 i=1
k

Taking natural logarithms of both sides,

!
1 X
n X
n
1
2 2
2
(xi 0) (xi 1) < ln
2 i=1 i=1
k

or
X
n X
n
1
2 2 2
(xi 0) (xi 1) > 2 ln .
i=1 i=1
k

Expanding the sums, we have that

! !
Xn X
n
1
x2i 2nxn 0 + n 20 x2i + 2nxn 1 n 2
1 > 2 2
ln
i=1 i=1
k

1
or that
2 1 2
2nxn ( 1 0) > 2 ln n 0 + n 21 .
k
Therefore,
2 2 2
2 ln(1=k) n 0 +n 1
xn > =k .
2n( 1 0)
Thus, the critical region has the form xn > k . If we choose that ( ) = 0,

= ( ; 0)
0
= P (X n > k j = 0 )
Xn k
= P p 0 > p 0
= n = n
k
= P Z> p 0 .
= n
Therefore,
k
p 0 =z 0
= n
or, equivalently,

k = 0 +z .0
p
n
Therefore, we have derived the form of the decision rule.

Decision Rule
:
Reject H0 if X n > 0 +z 0
p
n
(or equivalently, z > z 0 )
Note that the decision rule does not depend on 1 . Therefore, any 1 > 0 would result in
the exactly the same critical region. Therefore, above decision rule constitutes an UMP test
for the mean.
The power of the test can be easily calculated. At = 1 > 0 , the power is calculated
by
Xn
( ; 1) = P Xn > 0 +z 0
p j = 1 =P p 1 > 0
p 1 +z 0
n = n = n
0 1
= P Z> p +z 0
= n
0 1
= 1 p +z 0 .
= n
Therefore, ( ) = 0p1
= n
+z 0 . Notice that when 1 = 0, the power is

0
1 p 1 +z 0 =1 (z 0 ) = 1 (1 0) = 0 = ( )
= n
as expected of course.