LSTAT2050 - Analyse statistique II - Practice

session 3

Exercise 1 - composite test - problem 2

Let X1 , . . . , Xn ∼ pθ (x) so that pθ (x) = exp[θ − x]1[θ,∞] (x), where θ ∈ R. We want to test
iid

H0 : θ ≥ θ0 vs. H1 : θ ≤ θ0 . Does a UMP test exist ? If so, what is it ?

Exercise 2 - composite test - problem 1,2,5

Let X1 , . . . , Xn ∼ Exp(λ) so that pλ (x) = λ1 exp − λx .
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a) Find a UMP test at level α for testing H0 : λ ≤ λ0 vs. H1 : λ > λ0 .

b) Find a UMP test at level α for testing H0 : λ ≥ λ0 vs. H1 : λ < λ0 .
c) Find a UMP test at level α for testing H0 : λ = λ0 vs. H1 : λ 6= λ0 . (Hint : in this scenario,

you are not supposed to derive the precise critical values of the test. However, try to simplify

the most the conditions that the critical values must satisfy )

Exercise 3 - UMA upper condence bound

Consider a Poisson process {N (t), t ≥ 0}, meaning that N (0) = 0 with probability 1 and
N (t) ∼ P oi(λt) for any other value of t. Find a uniformly most accurate upper condence
bound at level α for the intensity rate λ when a certain amount m of events have occured, i.e.
N (t) = m.

Hint : The waiting time between two events of this Poisson process is Exp(λ)-distributed.
Hence, you can rephrase N (t) = m as a sample of waiting times.

Exercise 4 - simple test - problem 0 - supplementary exercise

This exercise draws a link between UMP tests in problem 0 and the search of an optimal binary
classier.

Let Y ∈ {0, 1} be a binary outcome (e.g. healthy or ill). Based on a set of continuous decision
variables X1 , . . . , Xp , we want to develop a rule for predicting whether Y = 0 or Y = 1.

Call d0 the decision to predict Y = 0 and d1 the decision to predict Y = 1, we dene the
as
probability of false positive

F P P (d1 ) = P (Y = 0|d1 ).

LSTAT2050 - Analyse statistique II - Practice session 3 1

Similarly, we dene the probability of true positive as

T P P (d1 ) = P (Y = 1|d1 ).

We dene an optimal decision rule as the output of the following procedure.

1. We x F P P (d1 ) to α.
2. We maximize T P P (d1 ).
Assume that P (Y = 1|X1 , . . . , Xp ) = H(β1 X1 + . . . , +βp Xp ), where H is an increasing
function. Show that the optimal rule is of the form : d1 if β1 X1 + . . . + βp Xp > k .

LSTAT2050 - Analyse statistique II - Practice session 3 2