In
statistical hypothesis testing
A statistical hypothesis test is a method of statistical inference used to decide whether the data at hand sufficiently support a particular hypothesis.
Hypothesis testing allows us to make probabilistic statements about population parameters.
...
, a uniformly most powerful (UMP) test is a
hypothesis test
A statistical hypothesis test is a method of statistical inference used to decide whether the data at hand sufficiently support a particular hypothesis.
Hypothesis testing allows us to make probabilistic statements about population parameters.
...
which has the greatest
power
Power most often refers to:
* Power (physics), meaning "rate of doing work"
** Engine power, the power put out by an engine
** Electric power
* Power (social and political), the ability to influence people or events
** Abusive power
Power may a ...
among all possible tests of a given
size
Size in general is the Magnitude (mathematics), magnitude or dimensions of a thing. More specifically, ''geometrical size'' (or ''spatial size'') can refer to linear dimensions (length, width, height, diameter, perimeter), area, or volume ...
''α''. For example, according to the
Neyman–Pearson lemma
In statistics, the Neyman–Pearson lemma was introduced by Jerzy Neyman and Egon Pearson in a paper in 1933. The Neyman-Pearson lemma is part of the Neyman-Pearson theory of statistical testing, which introduced concepts like errors of the second ...
, the
likelihood-ratio test is UMP for testing simple (point) hypotheses.
Setting
Let
denote a random vector (corresponding to the measurements), taken from a
parametrized family
In mathematics and its applications, a parametric family or a parameterized family is a family of objects (a set of related objects) whose differences depend only on the chosen values for a set of parameters.
Common examples are parametrized (fam ...
of
probability density function
In probability theory, a probability density function (PDF), or density of a continuous random variable, is a function whose value at any given sample (or point) in the sample space (the set of possible values taken by the random variable) can ...
s or
probability mass function
In probability and statistics, a probability mass function is a function that gives the probability that a discrete random variable is exactly equal to some value. Sometimes it is also known as the discrete density function. The probability mass ...
s
, which depends on the unknown deterministic parameter
. The parameter space
is partitioned into two disjoint sets
and
. Let
denote the hypothesis that
, and let
denote the hypothesis that
.
The binary test of hypotheses is performed using a test function
with a reject region
(a subset of measurement space).
:
meaning that
is in force if the measurement
and that
is in force if the measurement
.
Note that
is a disjoint covering of the measurement space.
Formal definition
A test function
is UMP of size
if for any other test function
satisfying
:
we have
:
The Karlin–Rubin theorem
The Karlin–Rubin theorem can be regarded as an extension of the Neyman–Pearson lemma for composite hypotheses.
[Casella, G.; Berger, R.L. (2008), ''Statistical Inference'', Brooks/Cole. (Theorem 8.3.17)] Consider a scalar measurement having a probability density function parameterized by a scalar parameter ''θ'', and define the likelihood ratio
.
If
is monotone non-decreasing, in
, for any pair
(meaning that the greater
is, the more likely
is), then the threshold test:
:
:where
is chosen such that
is the UMP test of size ''α'' for testing
Note that exactly the same test is also UMP for testing
Important case: exponential family
Although the Karlin-Rubin theorem may seem weak because of its restriction to scalar parameter and scalar measurement, it turns out that there exist a host of problems for which the theorem holds. In particular, the one-dimensional
exponential family
In probability and statistics, an exponential family is a parametric set of probability distributions of a certain form, specified below. This special form is chosen for mathematical convenience, including the enabling of the user to calculate ...
of
probability density function
In probability theory, a probability density function (PDF), or density of a continuous random variable, is a function whose value at any given sample (or point) in the sample space (the set of possible values taken by the random variable) can ...
s or
probability mass function
In probability and statistics, a probability mass function is a function that gives the probability that a discrete random variable is exactly equal to some value. Sometimes it is also known as the discrete density function. The probability mass ...
s with
:
has a monotone non-decreasing likelihood ratio in the
sufficient statistic
In statistics, a statistic is ''sufficient'' with respect to a statistical model and its associated unknown parameter if "no other statistic that can be calculated from the same sample provides any additional information as to the value of the pa ...
, provided that
is non-decreasing.
Example
Let
denote i.i.d. normally distributed
-dimensional random vectors with mean
and covariance matrix
. We then have
:
which is exactly in the form of the exponential family shown in the previous section, with the sufficient statistic being
:
Thus, we conclude that the test
:
is the UMP test of size
for testing
vs.
Further discussion
Finally, we note that in general, UMP tests do not exist for vector parameters or for two-sided tests (a test in which one hypothesis lies on both sides of the alternative). The reason is that in these situations, the most powerful test of a given size for one possible value of the parameter (e.g. for
where
) is different from the most powerful test of the same size for a different value of the parameter (e.g. for
where
). As a result, no test is uniformly most powerful in these situations.
References
Further reading
*
*
* L. L. Scharf, ''Statistical Signal Processing'', Addison-Wesley, 1991, section 4.7.
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Statistical hypothesis testing