4.2 Testing with one Parameter

Now we observe XPθ for some θΘR. The test can be one-sided (1)H0:θθ0 vs H1:θ>θ0, or point vs two-sided(2)H0:θ=θ0 vs H1:θθ0, or interval vs two sided (3)H0:|θθ0|δ vs H1:|θθ0|>δ,δ0.

1 One-sided Testing

We have proved that MLR leads to UMP. But generally we can't find MLR in any statistic T(X). In such cases we still come up with a test that rejects for some large T(X) (which is larger when θ is larger.) We say T(X) is stochastically increasing in θ if Pθ(T(X)>c) is non-decreasing in θ, cR. The power function ϕ(X)=1{T(X)>cα}, then, is also non-decreasing in θ, and ϕ(X) is valid for (1).

1.1 Score Test

When MLR is not existent, our idea is to maximize power for alternatives near θ0. If n is large, we will then have a lot of information about θ so power will be close to 1. Consider LRT pθ0+ε(X)pθ0(X)=exp{l(θ0+ε;X)l(θ0;X)}eεl˙(θ0;X), so it is equivalent to reject for large l˙(θ0;X).

Score Test

Reject for large l˙(θ0;X).

1.2 The Sign Test as a Nonparametric Test

Sign Test

S(X)=#{Xi>0}. Usually for nonparametric testing problem.

Suppose X1,,Xni.i.dF (F is an unknown c.d.f for distribution). Assume that F is continuous and strictly increasing, then median θ(F)=F1(1/2) is well-defined, and consider H0:θ(F)0 vs H1:θ(F)>0. Then S(X)Binomial(n,1F(0)). So 1F(0){12,H0 is true,>12,H1 is true.

2 Two-sided Alternatives

Consider (3). Specifically, if δ=0, it goes to (2). If δ=0, H0 is a point null. If δ>0, H0 is an interval null.

2.1 Two-tailed Tests

For two-sided alternative, we generally employ two-tailed test: ϕ(X)={1,T(X)<c1 or T(X)>c2,0,c1<T(X)<c2,γi,T(X)=ci,i=1,2.
(We say the test rejects for extreme T(X). )

From the example above with no UMP test, we can impose a constraint that rules out all but one test. In the above example, α1=α2 leads to a test that

2.2 Optimal Unbiased Tests

If power is differentiable at θ, and θ0Θ, then any unbiased test ϕ must have βϕ(θ0)=α, and β˙ϕ(θ0)=0. (See figure in this example. )

UMPU

ϕ is UMP unbiased (UMPU), if for any other unbiased level α test ϕ, θΘ1, βϕ(θ)βϕ(θ).

For exponential family models we have the following result:

Theorem (UMP Unbiased Test)

Assume XeθT(x)A(θ)h(x), and we want to test (3). [θ0δ,θ+δ]Θ.
Suppose ϕ(X) rejects for extreme values of T(X), with the cutoffs c1,c2,γ1,γ2 chosen so that

  1. ϕ attains power α at the boundary of the null: βϕ(θ0δ)=βϕ(θ0+δ)=α.
  2. If δ>0, β˙ϕ(θ0)=0.

Then ϕ is UMPU.