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Neymar Pearson

The document discusses the likelihood ratio test for comparing the means of two normal distributions. It shows that the likelihood ratio test reduces to comparing the sample mean X to a critical threshold c. The critical threshold depends on the hypothesized means, variance, and desired Type I error rate alpha. The test's power and required sample size to control the Type II error rate at a given level are also derived in terms of these parameters.

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181 views2 pages

Neymar Pearson

The document discusses the likelihood ratio test for comparing the means of two normal distributions. It shows that the likelihood ratio test reduces to comparing the sample mean X to a critical threshold c. The critical threshold depends on the hypothesized means, variance, and desired Type I error rate alpha. The test's power and required sample size to control the Type II error rate at a given level are also derived in terms of these parameters.

Uploaded by

YogiWahyudi
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Probability and Statistics

Grinshpan

The most powerful test for the mean of a normal distribution


Let X1 , . . . , Xn , be a random sample from a normal distribution with unknown mean µ and
known variance σ 2 . Suggested are two simple hypotheses: µ = µ0 and µ = µ1 .
Given 0 < α < 1, what would the likelihood ratio test at significance level α be?
The answer turns out to be directly related to the sample mean X.

Let us write Xi ≈ xi to indicate the event that Xi takes a value in a small interval about xi ,
1 2 2
so that P (Xi ≈ xi ) = √ e−(xi −µ) /2σ dxi . By independence, we then have
2πσ
n
Y
P (X1 ≈ x1 , . . . , Xn ≈ xn |µ = µ0 ) = P (Xi ≈ xi |µ = µ0 )
i=1
n
Y 1 2 2
= √e−(xi −µ0 ) /2σ dxi
i=1
2πσ
n
( )
√ 1 X
= ( 2πσ)−n exp − 2 (xi − µ0 )2 dx1 . . . dxn .
2σ
i=1
Similarly,
n
( )
√ −n 1 X
P (X1 ≈ x1 , . . . , Xn ≈ xn |µ = µ1 ) = ( 2πσ) exp − 2 (xi − µ1 )2 dx1 . . . dxn .
2σ
i=1
So the likelihood ratio is
P (X1 ≈ x1 , . . . , Xn ≈ xn |µ = µ0 )
l(x1 , . . . , xn ) =
P (X1 ≈ x1 , . . . , Xn ≈ xn |µ = µ1 )
n
( )
1 X 2 2
= exp (xi − µ1 ) − (xi − µ0 )
2σ 2
i=1
  
n(µ0 − µ1 ) µ0 + µ1
= exp x− .
σ2 2
Observe that the condition l(x1 , . . . , xn ) < c is equivalent to
µ0 + µ1 σ 2 ln c
x > c̃ = + ,
2 n(µ0 − µ1 )
if µ0 < µ1 , and to x < c̃, if µ0 > µ1 . Therefore, any likelihood ratio criterion of the form
l(X1 , . . . , Xn ) < c reduces to the a simple bound on the sample mean, X > c̃ or X < c̃.
One says that X is the statistic of the criterion. The critical threshold c̃ is determined by α.

Assume that µ0 < µ1 .

Under the hypothesis µ = µ0 , we have X ∼ N (µ0 , σ 2 /n), and so


 
c̃ − µ0
α = P (l(X1 , . . . , Xn ) < c|µ = µ0 ) = P (X > c̃|µ = µ0 ) = P Z > √ .
σ/ n
√
Hence c̃ = µ0 + zα σ/ n, where zα is the upper α–quantile for the standard Gaussian.
Note that c̃ does not depend on µ1 .
Let us also determine the probability of a type II error.

Under the hypothesis µ = µ1 , we have X ∼ N (µ1 , σ 2 /n), and therefore


 
c̃ − µ1
β = P (l(X1 , . . . , Xn ) ≥ c|µ = µ1 ) = P (X ≤ c̃|µ = µ1 ) = P Z ≤ √ .
σ/ n
 √ 
n
Hence β = P Z ≤ zα +(µ0 − µ1 ) . Note that β is monotone decreasing as a function of n.
√ σ
n
Furthermore, zα +(µ0 − µ1 ) = −zβ or
σ
 2
zα + z β
n= σ ,
µ1 − µ0
which is the minimum sample size needed for the type I and type II errors not to exceed the
respective values of α and β. In fact, dne should be taken.

EXAMPLE Let n = 25, µ0 = 0, µ1 = 1, σ = 1, and α = 0.05. Determine the critical


threshold c̃, the probability of a type II error β, and the power of the test 1 − β.
√
Solution. We have c̃ = µ0 + z0.05 σ/ 25 = 0 + 1.645/5 = 0.329. So the hypothesis µ = 0 is to
be rejected whenever X > 0.329. The chance of a type II error is
β = P (Z ≤ 1.645 + (0 − 1) · 5) = P (Z ≤ −3.355) = 0.0004.
The power is 1 − β = 0.9996.

EXAMPLE Let µ0 = 0, µ1 = 1, σ = 1, and α = 0.05. How many observations are needed to


be made for the probability of a type II error not to exceed 0.1?

Solution. Since z0.05 = 1.645 and z0.1 = 1.282,


 2
1.645 + 1.282
n= · 1 ≈ 8.6.
1−0
Hence 9 observations are needed to be made.

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