Stat 463

Testing 3: Ch. 8.1.

8.1. Most Powerful (MP) Test

iid

Given X1, , Xn f (x; ), want to test hypothesis

H0 : = 0 vs H1 : = 00
= { : = 0, 00} and 0, 00 are constants.
Testing the hypothesis is equivalent to finding the critical
region C (subset of the sample space) such that we reject
H0 if the set of observed values of the random sample
satisfies
{(x1, .xn) : (x1, .xn) C}
Definition: C is called a best critical region [Most Powerful (MP) test] of size for testing the H0 : = 0 vs H1 :
= 00 if for every subset A of the sample space for which
P0 [(X1, , Xn) A] = ,
1. P0 [(X1, , Xn) A] =
2. P00 [(X1, , Xn) C] P00 [(X1, , Xn) A]
0

Stat 463

Testing 3: Ch. 8.1.

Example (B8.1.1) X b(n = 5, ),

H0 : =
x
32 b(x, 1/2)
1024 b(x, 3/4)
b(x, 1/2)/b(x, 3/4)

0
1
1
32

1
2

vs

1
5
15
32/3

H1 : =
2
10
90
32/9

3
10
270
32/27

Significance level (Size) = 1/32 Test.

Significance level (Size) = 6/32 Test.

3
4
4
5
405
32/81

5
1
243
32/243

Stat 463

Testing 3: Ch. 8.1.

iid

Them 8.1.1.: Neyman-Pearson Theorem X1, , Xn

iid

f (x; ). The likelihood of X1, , Xn f (x; ) is

L(; x1, , xn) = f (x1; ) f (xn; ) .
The parameter space is = { : = 0, 00}, 0 6= 00.
Let C be a subset of the sample space such that

L(0; x1, , xn)

k, (x1, , xn) C
1.
00
L( ; x1, , xn)
L(0; x1, , xn)
c
2.

k,
(x
,

,
x
)

C
n
1
L(00; x1, , xn)
3. = P0 [(X1, , Xn) C]
Then C is a best critical region of size for testing the
simple hypothesis H0 : = 0 vs H1 : = 00.
Note: The given 3 sufficient conditions for the best size
test are also necessary conditions. Thus, finding the best
size test is equivalent to finding the value k that satisfies
the condition 1(or 2) and 3. In other words, if we define
the critical region as
2

Stat 463

Testing 3: Ch. 8.1.

(

C = (x1, , xn) :

L(0; x1, , xn)

L(00; x1, , xn)

where k is the positive constant that satisfies

P0 {(X1, , Xn) C} = .
Then, this is the best size test for testing the simple
hypothesis H0 : = 0 vs H1 : = 00.
Note: Most of times, L(0; x1, , xn)/L(00; x1, , xn)
can be expressed as a function of x1, , xn, say,
u(x1, , xn; 0, 00)
and the critical region have a form of
u(x1, , xn; 0, 00) < c ,
where c satisfies
P0 {u(X1, , Xn; 0, 00) < c} = .
Examples: B8.1.2., B8.1.3.
P8.1.2., P8.1.7.
3