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6.2. Uniformly Most Powerful (UMP) Test

Uniformly Most Powerful (UMP) Test:

As there exists a rejection region R corresponding to the most powerful test of
size for testing H 0 : 0 v.s. H a : 1 for 1 1 , then, the test
corresponding to the above rejection region is the most powerful test of size
for testing H 0 : 0 v.s. H a : 1 , i.e. the power function of UMP test is
greater or equal to the power function of any other test uniformly over 1 . As
H 0 : 0 v.s. H a : 1 , the test among those test of level (i.e.,

max p ) is UMP test if its power function is greater or equal to the power
0

function of any other test uniformly over 1

Monotone Likelihood Ratio:

The likelihood l has monotone likelihood ratio in the statistic T X 1 , , X p ,

l 1 T x1 , , x p .
if for 1 2 , the ratio
l 2 is a monotone function of

Example 1:
i .i . d .
Let X 1 , X n ~ Binomial 1, p . Then, we have a monotone likelihood in the
n
statistic T X 1 , , X n X i .
i 1

UMP Test and Monotone Likelihood Ratio:

i .i . d .
Let X 1 , X n ~ f x | with monotone likelihood ratio. Then,

(a) for testing H 0 : 0 v.s. H a : 0 , there exists a UMP test at level of

significance, which is given by
reject H 0 as T X 1 , , X n c ,
not reject H 0 as T X 1 , , X n c , and

reject H 0 with probability P T X 1 , , X n c | 0 as

T X 1 , , X n c ;
(b) for testing H 0 : 0 v.s. H a : 0 , there exists a UMP test at level of
significance, which is given by
reject H 0 as T X 1 , , X n c ,

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not reject H 0 as T X 1 , , X n c , and

reject H 0 with probability P T X 1 , , X n c | 0 as

T X 1 , , X n c .

UMP Test and Exponential Families:

Let X X 1 , , X p have the density

f x1 , , x p | f x | exp q T x A h x ,

where is a real parameter and q strictly monotone. Then,

(a) for testing H 0 : 0 v.s. H a : 0 , there exists a UMP test at level of
significance, which is given by
reject H 0 as T X c ,
not reject H 0 as T X c , and

reject H 0 with probability P T X c | 0 as T X c

(b) for testing H 0 : 0 v.s. H a : 0 , there exists a UMP test at level of

significance, which is given by
reject H 0 as T X c ,
not reject H 0 as T X c , and

reject H 0 with probability P T X c | 0 as T X c .

Example 2:
i .i . d .
Let X 1 , X 5 ~ Binomial 1, p For the following hypothesis test

1 1 1
H0 : p v.s. H a : p . The uniformly most powerful test at is to
2 2 32
reject H 0 as x 1 .

Example 3:

i .i .d .
Let X 1 , X n ~ N 0, 2 For the following hypothesis test

H 0 : 2 02 v.s. H a : 2 02 . The uniformly most powerful test at is to

n
reject H 0 as X
i 1
i
2
02 n2, .

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