Probability and Statistics

Grinshpan

Likelihood ratio test: comparing uniform distributions

Let a random variable X be uniformly distributed in the interval 0 < x < θ.

Consider two simple hypotheses, based on a single observation of X,

H0 : θ=1 and H1 : θ = 1.1.

{
P (X = x|H0 ) f0 (x) 1.1, 0 < x < 1,
The likelihood ratio function is ℓ(x) = = =
P (X = x|H1 ) f1 (x) 0, 1 ≤ x < 1.1.

{ }
Note that ℓ(x) is a decreasing step function defined on (0, 1.1) with range 0, 1.1 .

Under H0 , it is impossible to observe an x in [1, 1.1); under H1 , this chance is 1/11.

Given a critical value c, the likelihood ratio test is

ℓ(x) < c : reject H0

ℓ(x) = c : reject H0 with probability q
ℓ(x) > c : accept H0

The borderline probability of rejection q may depend on x (and on c).

For any c with 0 < c < 1.1, the significance level of the test is

α = P ( ℓ(X) < c | θ = 1 ) = 0,

and the power of the test is 1 − β = P ( H1 | H1 ) = P ( ℓ(X) < c | θ = 1.1 ) = 1/11.

Thus the odds of rejection when H0 is true are zero, but the odds of acceptance when H0 is false are high.

The cases where c belongs to the range of ℓ(x) are more delicate.
∫ 1.1
10
If c = 0, we have α = P ( ℓ(X) = 0 | θ = 1 ) = 0 and 1 − β = P ( H1 | θ = 1.1 ) = q(x)dx.
11 1
∫ 1 ∫ 1
10 1
If c = 1.1, we have α = P ( H1 | θ = 1 ) = q(x)dx and 1 − β = P ( H1 | θ = 1.1 ) = q(x)dx + .
0 11 0 11
For instance, if c = 1.1 and q(x) = 0.5, then α = 0.5 and 1 − β = 6/11.