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Stat/Math 4066/5066 - Advanced Statistical Theory - Fall 2023

W12: Additional Notes

Text References and Additional Reading: §4.3-4.6

Assignment 10 (Due Never):

1. Suppose that x1 , . . . , xn are a simple random sample from a N (θ, θ) distribution. In contrast to the
usual case, both the mean and variance are equal to θ.
Derive the UMP α-level test of H0 : θ = θ0 against HA : θ < θ0 . Your final test should be of the form
 
1 if T (x) > c 1 if T (x) < c
φ(x) = or φ(x) =
0 otherwise 0 otherwise

for some T (x). You need not find c.

2. If X ∼ Binomial(n, θ), the usual binomial test of H0 : θ = θ0 against HA : θ ̸= θ0 rejects when

√ p
n|θ̂ − θ0 |/ θ0 (1 − θ0 ) > zα/2 , where θ̂ = x/n. Determine the dual confidence region for this test.

3. Suppose x1 , . . . , xn are a simple random sample from an exp(λ) distribution. It can be shown that
the UMP α-level tests of H0 : λ = λ0 against HA : λ > λ0 and HA : λ < λ0 are respectively

1 if nx̄ < χ21−α,2n /(2λ0 ) 1 if nx̄ > χ2α,2n /(2λ0 )

 
φ> (x) = φ< (x) =
0 otherwise 0 otherwise

Determine the Uniformly Most Accurate (1 − α) × 100% lower bound for λ.

Uniformly Most Powerful Unbiased Tests

There usually is no UMP test of H0 : θ = θ0 against HA : θ ̸= θ0 . To illustrate why, consider
√
X1 , . . . , Xn ∼ N (θ, 1). The two-sided z-test that rejects when n|X̄ − θ0 | > zα/2 is most frequently used
in such a setting and you might guess that it is optimal.
However, because the level of the test is determined entirely by the null hypothesis, the UMP test of
H0 : θ = θ0 against HA : θ > θ0 , is also α-level for H0 : θ = θ0 against HA : θ ̸= θ0 . We showed in class
√
that this test is the one-sided z-test that rejects when n(X̄ − θ0 ) > zα . Let φ denote the two-sided z-test
and φ+ the one-sided z-test. The power functions for the two tests are given in Figure 1 and we see that
although φ+ has terrible power for θ < θ0 , it has better power for θ > θ0 . Thus φ cannot be UMP.
That UMP tests of HA : θ ̸= θ0 do not exist, is not a phenomenon restricted to a few anomalous
cases. More generally, UMP one-sided tests of HA : θ > θ0 always have better power at θ > θ0 than their
two-sided analogues.
One-sided tests like φ+ are undesirable for alternatives like HA : φ ̸= φ0 , because they have very low
power for parameter values θ < θ0 of interest under the alternative hypothesis. If we rule out such types
of tests, it turns out that φ is the best test of H0 : θ = θ0 against HA : θ ̸= θ0 . Formally, we define an
α-level test of H0 : θ = θ0 against HA : θ ∈ ΘA to be unbiased if β(θ, φ) ≥ α for all θ ∈ ΘA ; the probability
of rejecting under the alternative must be larger than under the null.
For one-parameter exponential families the UMP test of H0 : θ = θ0 against HA : θ ̸= θ0 , among
unbiased tests, can be shown to be
 P P
1 if i T (xi ) < c1 or i T (xi ) > c2
φ(x) =
0 otherwise

where c1 and c2 are determined by theP usual α-level constraint that α = Eθ0 [φ(X)] plus an additional
constraint that αEθ0 [T (X)] = Eθ0 [n−1 i T (Xi )φ(X)]; a randomized version is needed for discrete dis-
tributions. Applying this result with the N (θ, 1) exponential family model gives that the z-test is UMP
among unbiased tests of H0 : θ = θ0 against HA : θ ̸= θ0 . More generally, such tests usually exist.
 2

Figure 1: The power functions of the tests, φ and φ+ when α = 0.05.

β(µ, ϕ)
β(µ, ϕ+)
µ
µ0