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(p.554: 10.105)
Let Y1, Y2, ..., Yn denote a random sample from a normal distribution with mean μ (unknown)
and σ2. For testing H0: σ2 = σ02 against Ha: σ2 > σ02, show that the likelihood ration test is
equivalent to the χ2 test given in Section 10.9.
Solution:
The hypotheses are H0: σ2 = σ02 vs. Ha: σ2 > σ02. The null hypothesis specifies Ώ0 = {σ2 : σ2 = σ02},
so in this restricted space the MLE for σ2 is σ02. Now we calculate the MLE for μ. The likelihood
function is
( yi )2
L( , ) i 1 (2 ) n / 2 ( 2 ) n / 2 exp(i 1 ( y2i 2 ) ) .
2 n n 2
1
2
e 2 2
l ( , 2 ) i 1 ( yi 2 ) .
n
l ( y , 2 ) 2n 2 21 4 i 1 ( yi y ) 2 .
n
2
n
Setting it to zero and solving for σ2, we get the solution is 1n i 1
( yi y ) 2 .
Since the unrestricted space is Ώ = {σ2 : σ2 ≥ σ02}, the MLE for σ2 is
ˆ 2 max( 1n i 1 ( yi y ) 2 , 0 2 ) .
n
( yi y )2
i1
n
1 exp( )
( yi y ) 2
exp i12 2 i12ˆ 2 .
n n
ˆ )
L( 2 02 02 n/2 ( yi y ) 2
L(
0
ˆ) ( yi y )2
ˆ 2
02
i1
n
1
2 ˆ 2
exp(
ˆ 2
) 0
If ˆ 0 , λ = 1. If ˆ 0 ,
2 2 2 2
( yi y )2
i1
n
1 exp( ) n/2
( yi y ) 2
i1n 2 exp i12 2 n2 ,
n n
ˆ )
L( 2 02 02 ( yi y ) 2
L(
0
ˆ) ( yi y )2
i1
n
1
2 ˆ 2
exp(
ˆ 2
) 0
0
and H0 is rejected when λ ≤ k. Let V = (n - 1)S2/σ02. By thm 7.3, we know that V is a chi-square
distributed random variable with n - 1 degrees of freedom. λ can be rewritten as
Vn exp V2 n2
n/2
which is a function of V.
Now we calculate the derivative of λ with respect to V,
n n 1 V2 n2
d
dV 12 n 2 V 2 e (n V ) .
0 0 0 0
(p.555: 10.107)
Let S12 and S22 denote, respectively, the variances of independent random samples of sizes n
and m selected from normal distributions with mean μ1 and μ2 and common variance σ2. If
μ1 and μ2 are unknown, construct a likelihood ratio test of H0: σ2 = σ02 against Ha: σ2 = σa2,
assuming that σa2 > σ02.
Solution:
Let X1, X2, ..., Xn and Y1, Y2, ..., Ym denote the two samples. Under H0, the quantity
V i1
( X i X ) 2 ( Yi Y ) 2
n n
( n 1) S12 ( m 1) S 22
2
i 1
02
0
In the unrestricted space, the MLE of σ2 is either σ02 or σa2. For the former, the likelihood ratio will
ˆ )
L(
be equal to 1. But, for k < 1, the rejection region is L(
0
ˆ) k only if ˆ a . In this case,
ˆ )
L(
L(
0
ˆ) a mn
0
exp V2 V2
02
a2
a mn
0
exp V2 1 02 ,
a
2
which is a decreasing function of V. Thus, we reject H0 if V is too large, and the rejection region is
{V ≥ c}.