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More on the Neyman-Pearson Lemma
This handout explores some additional applications of the Neyman-Pearson Lemma, and
introduces a related result based on monotone likelihood ratios known as the Karlin-Rubin
Theorem.
Applying the Neyman-Pearson Lemma: Let lr10(x) =f1(x)
f0(x)be the ratio of the prob-
ability density functions under H1: θ = θ1 and H0: θ = θ0 where both are simple hypotheses.
If k is the solution to:
Pr(X ∈ C) = Pr[lr10(X) > k|H0] = α,
then C = x : lr10(x) > k is the size-α critical region of the uniformly most powerful
(UMP) test for H0 vs. Ha by the Neyman-Pearson Lemma.
• The difficult part is finding the value of k for which this is true.
Example: Suppose X1, . . . , Xn are a random sample with common density:
fXi(xi|θ) = exp a(θ)b(xi) + c(θ) + d(xi) ,
and we wish to test the hypotheses H0: θ = θ0 vs. Ha: θ = θ1. The ratio of densities is:
lr10(x) =n∏
i=1
exp a(θ1)b(xi) + c(θ1) + d(xi)exp a(θ0)b(xi) + c(θ0) + d(xi)
=n∏
i=1
exp [a(θ1)− a(θ0)] b(xi) + c(θ1)− c(θ0) .
• This ratio is large (as a function of x) if and only if
n∑i=1
[a(θ1)− a(θ0)] b(xi) = [a(θ1)− a(θ0)]n∑
i=1
b(xi)
is large (i.e.: if it’s greater than some k2).
• Without loss of generality, take a(θ1)− a(θ0) > 0. Then this is equivalent to saying we
need T =n∑
i=1
b(Xi) ≥ k3.
• In some cases, the distribution of T is known and finding k2 is straightforward.
Example: Suppose Xiiid∼ exp(θ) so that:
fXi(xi|θ) =
1
θexp−xi/θ = exp
−1
θxi − log θ
, xi > 0, θ > 0.
Consider T =∑
b(Xi) =∑
Xi. What is the distribution of T?
So the UMP test of H0: θ = θ0 vs. H1: θ = θ1 (θ1 > θ0) rejects H0 if T =∑
Xi > k2where k2 can be found from a χ2-distribution.
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• In other cases, the distribution of T cannot be found analytically and a normal approx-
imation can be employed as:T − nEb(Xi)|θ0√
nVarb(Xi)|θ0•∼ N(0, 1).
Then k2 ≈ nEb(Xi)|θ0+ zα√nVarb(Xi)|θ0 (where: α = Pr(Z ≥ zα)).
• In most other cases, Monte Carlo simulation can be used to find k2.
A Randomized Critical Function (for cases where lr10 is not continuous underH0): Sup-
pose X ∼ Poisson(θ) and we test:
H0: θ = 1 vs. H1: θ = θ1, θ1 > 1,
based on a single observation from X. The critical ratio is:
l10(x) =e−θ1θx1/x!
e−θ0θx0/x!=
e−θ1θx1/x!
e−1/x!= e−θ1+1θx1 .
Since θ1 > 1, then l10(x) is an increasing function of x. Hence, we look for a test function of
the form:
ϕ(x) =
1 if x > k
c if x = k
0 if x < k
.
Step 1: Pick α, the desired size of the test.
Step 2: Pick k such that Pr(X > k − 1|H0) ≥ α ≥ Pr(X > k|H0)
OR such that Pr(X ≤ k − 1|H0) ≤ α ≤ Pr(X ≤ k|H0).
Suppose α = 0.05. Then computing for a Poisson distribution gives the following table:
k Pr(X ≤ k|H0)
0− 0
0 0.3679
1 0.7358
2 0.9197
3 0.9810
The test function is: ϕ(x) =
1 x > 3
c x = 3
0 x < 3
, where c is chosen
so that: α = E[ϕ(X)|H0]. Here, this gives:
0.05 = 1 · Pr(X > 3|H0) + c · Pr(X = 3|H0)
= (1− .9810) + c(0.9810− 0.9197) ⇒ c ≈ 0.5057.
So, at x = 3, we have about a 50% chance of rejecting or accepting H0.
Distributions with Monotone Likelihood Ratios (MLR) : The Neyman-Pearson Lemma
addresses hypotheses of the form H0: θ = θ0 vs. Ha: θ = θ1. We want to tackle composite
hypotheses of the form: H0: θ = θ0 vs. Ha: θ < θ0 or θ > θ0.
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MLR Families: Let F = fX(x|θ) : θ ∈ Ω ⊂ ℜ. If ∃ a real-valued function t(x)
such that ∀θ, θ′ ∈ Ω with θ < θ′:
fX(x|θ′)fX(x|θ)
is a monotone nondecreasing function of t(x), i.e.: for every θ < θ′, ∃ a monotone nondecreasing function
g(t, θ, θ′) such that fX(x|θ′) = g(t, θ, θ′)fX(x|θ)
then F is an MLR family.
Example: Suppose F is an exponential family so that fX(x|θ) = exp a(θ)b(x) + c(θ) + d(x).Let θ < θ′. Consider the ratio:
fX(x|θ′)fX(x|θ)
= exp [a(θ′)− a(θ)] b(x) + c(θ′ − c(θ) .
If a(θ) is monotone increasing/decreasing, then this is an MLR family in b(x) OR −b(x).
Example: Consider a hypergeometric random variable X. What is the scenario for this
situation?
• N total items, where we take a sample of size n at random with replacement.
• Let D = the number of defectives among the N items and define X = the number of
defectives in the sample of size n. The probability mass function of X is:
fX(x|D) =
D
x
N −D
n− x
N
n
, x =
Let D < D′, so that D′ = D + j for j = 1, 2, . . ..
• To show fX(x|D) is MLR in x, we must show:fX(x|D′)
fX(x|D)is monotone increasing as a
function of x. Consider D′ = D + 1 first:
fX(x|D + 1)
fX(x|D)=
D + 1
x
N −D − 1
n− x
/
N
n
D
x
N −D
n− x
/
N
n
=(D + 1)(N −D − n+ x)
(N −D)(D + 1− y).
Since the numerator increases as a function of x and the denominator decreases as a
function of x, then the ratio increases as a function of x.
• In the general case:
f(x|D′)
f(x|D)=
f(x|D + j)
f(x|D)=
f(x|D + j)
f(x|D + j − 1)· f(x|D + j − 1)
f(x|D + j − 2)· · · f(x|D + 1)
f(x|D),
where each ratio is increasing as a function of x, so that the family of distributions
fX(x|D) : D = 0, 1, . . . , n is MLR in x.
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Karlin-Rubin Theorem: Let F = fX(x|θ) : θ ∈ Ω ⊂ ℜ be an MLR family in t(x).
Then, for testing the hypotheses H0 : θ = θ0 vs. H1 : θ > θ0, ∃ a uniformly most powerful
(UMP) test with test function given by:
ϕ(x) =
1 t(x) > c
γ t(x) = c
0 t(x) < c
, where c & γ are chosen so that Eϕ(X)|H0 = α.
• Note: There is an analogous result forH1: θ < θ0 where the directions of the inequalities
in the test function are simply reversed.
• The power of this theorem is that we need only show a family of distributions is MLR
in a statistic t(x) and we immediately get the form of the UMP test for a composite
one-sided alternative hypothesis.
Proof: Fix θ1 > θ0. By the Neyman-Pearson Lemma, the (U)MP test of H0 : θ = θ0 vs.
H1 : θ = θ1 rejects H0 whenf1(x|θ1)f0(x|θ0)
> k, or equivalently (since fX(x|θ) is MLR), when
t(x) > c, where c & γ are constants chosen such that:
α = Eϕ(X)|H0 ⇒ α = Pr[t(X) > c|H0] + γPr[t(X) = c|H0].
Since the Neyman-Pearson MP test at θ1 > θ0 does not depend on θ1, then this test is most
powerful for all θ > θ0, and thus is uniformly most powerful (UMP).
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