Let be a random sample from a Poisson distribution with mean unknown. Construct the uniformly most powerful test for testing hypotheses
Suppose n=10, sample mean is 2.42, and =1.5. Will you reject Ho at a significance level of 5%?
I started doing by the book and got stuck. I know it is a trivial problem, statisticians do this all the time, I need to do it once only, to understand )))
Start by writing down the likelihood function
By Neyman-Pearson lemma,
(my book uses the likelihood over the total sample space in the numerator)
So I find the ratio (I replaced with
Now then, I will reject Ho if this ratio is large. This ratio will be larger the larger is. But how large it should be (for say 95% confidence level?)
Here is where I am stuck. I don't know distribution of this ratio. How do I decide on the critical region? (which will be a most powerful region, I reckon). Do I need to know a distribution?... Do I use the assymptotic distribution of the 2 log of the likelihood ratio? do I use Poisson table? When it comes to a most powerful test, my head is a mess.
thank you !
You need to plug in the restricted and full parameter space MLE's into the ratio. Depending on the observed Y, these might be the same thing in which case the ratio will be 1 and you obviously wouldn't reject. If they aren't the same thing then you work with the ratio.
The trick with these is that you usually don't need to know the distribution of the ratio. You can usually write the test as a function of the complete sufficient statistic and (hopefully) the ratio will be a monotone in it (unimodal isn't the end of the world either, but monotone is best); thus you can base the test just on the complete sufficient statistic.
MLE (H_1) for Poisson distribution is
MLE (H_0) is
then the LR is and
Have I thereby constructed the UMPT? I am concerned that I don't have n anywhere in my formula. Does it matter?
Now, what about the given test results and rejecting/not rejecting of the Ho? , so the r>1. What about checking within given confidence level, 5%.
Suppose I use ?
which is between 0.3 and 0.4 in my chi-square table (1 degree of freedom) which is definitely lower than 0.95. Should I reject Ho then?
PS I've just looked up Casella, Berger Statistical Inference. Question 8.31 (page 406) is asking to find UMP for a sample ~ Poisson, and in part (b) it is asking to use Central Limit Theorem to determine the sample size n to achieve certain confidence levels. So, it is also possible to use N(0,1)??? How do I know when it is OK and when it is not?
I assumed you hadn't learned about MLR yet since it looks like you are taking a Neyman-Pearson Lemma angle at this problem, but from looking at it in the text you should know about MLR. is complete sufficient and is Poisson, so we have MLR in T. Hence, reject when T is big is UMP for this hypothesis. The UMP test should
where and K are chosen so that for the desired alpha; we reject with probability . I don't think Casella and Burger get into randomized tests, so maybe you should ignore the gamma part.
The CLT thing is just asking you to use to do a power calculation. It's an approximation, of course. I think for the Poisson, a mean of 20 is probably enough for it to be reasonable (just based on the standard deviation relative to the mean).
I (supposedly) have learnt about LRT, and I am struggling to place Neyman-Pearson, LRT, MLE (and sufficient statistics) together into one coherent picture. My study guide is a collection of 'useful' theorems and their proofs, but it has no one description of the 'method' to which these theorems are relevant.
Oh, no. My study guide is an undergrad text in Stat Inference and it does not have it in the syllabus (nor in the body of the text). It only refers to Casella and Burger sporadically, and it is much more shallow than Casella and Burger. I wonder if there is a way to solve this exam style question with 'baby' methods (not using Monotone LR).
Okay, it may be more instructive if I just do it. Also, ignore my initial post in this thread; for some reason I thought we were making a LRT, but everything after that is fine. Consider testing H: lambda = lambda_0 against H': lambda = lambda_1 for lambda_1 > lambda_0. The MP test of this hypothesis is to reject when
where we choose C to get the desired size (NP Lemma). Now, R(X) is monotonically increasing in due to the fact that . Equivalently, we reject H when where k is chosen to give the desired size. Now, this test does not depend on the choice of lambda_1 because in choosing k we only make use of the distribution of under H. Thus, reject when is UMP for the given hypothesis (it is most powerful for all lambda > lambda_0).
"Now then, I will reject Ho if this ratio is large. This ratio will be larger the larger is. But how large it should be (for say 95% confidence level?)
Here is where I am stuck."
Since I need to answer part 2 of the question (reject or not), I do need to chose k. And I am back again to the same question, how large the k should be?
Another thing you said, may I ask to elaborate, because it is not obvous to me yet,
(under which H?)Now, this test does not depend on the choice of lambda_1 because in choosing k we only make use of the distribution of under H.
I clearly see in the formula above, why is it that we only make use of the distribution of under H? (and this is where I have difficulty in general with universally most powerful tests.
Oh I see that now, thanks for taking time to explain!
Would you mind showing how one would approach the second part of the question, viz "Suppose n=10, sample mean is 2.42, and =1.5. Will you reject Ho at a significance level of 5%?" I am still hoping to have this completed as this is a good practice question for the exam. I promise never to attempt constructing a UMPT in real life after I am done with this Stat Inference exam )))