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Randomize at a discrete likelihood-ratio boundary
Example
On with its full sigma-algebra and counting measure , let the simple null and alternative laws be and , . At level , the Neyman–Pearson test randomizes with probability at and rejects with probability at . Its size is and its power is .
Verification
Given: The two probability laws above, counting measure , and . Assume AC for the general Neyman–Pearson comparison.
[A1] The Axiom of Choice: the Neyman–Pearson theorem is used in its AC density-selection branch; the finite example's densities are explicit.
[F1] Counting measure on an arbitrary set: each singleton has -measure .
[F6] Counting measure is a measure and Finite, sigma-finite, and semifinite measures: the counting set function is a measure; a finite measure is sigma-finite.
[F2] Likelihood-ratio tests with boundary randomization and The likelihood-ratio rule is a measurable test of exact size: the candidate is a measurable randomized test of exact size; on it rejects above its cutoff and randomizes by at equality.
[F3] Test size and power: size is null rejection probability and power is alternative rejection probability.
[F4] Expectation of a nonnegative or integrable random variable, Nonnegative simple measurable functions, The integral of a nonnegative simple function, and The nonnegative integral agrees with the simple integral on simple functions: expectation of this finite-valued rejection function is the sum of its values weighted by the point masses.
[F5] Neyman–Pearson lemma with singular alternative mass: no test of size at most has larger power than the constructed likelihood-ratio test.
[F7] Probability measures and probability spaces: a measure with total mass is a probability measure.
[F8] A measurable function between measurable spaces: every real-valued function on the two-point space with its full sigma-algebra is measurable.
By [F1] and [F6], is a measure with , so it is finite and hence sigma-finite. Each displayed law has nonnegative masses summing to , and any disjoint family of subsets of has at most two nonempty members, so each law is countably additive. Thus are probability measures by [F7].
Define , , and . They are finite, nonnegative, and measurable by [F8]. For every , the simple-integral formula in [F4] gives , so these are density representatives and . Hence and . With , and , so the boundary equation gives . The test has and .
Using [F4], its size is , and its power is . Thus it uses the boundary atom to attain the requested size.
The Neyman–Pearson lemma [F5] makes this test most powerful among all tests whose size is at most .
Depends on
- The Axiom of Choice
- Statistical experiments
- Likelihood-ratio tests with boundary randomization
- The likelihood-ratio rule is a measurable test of exact size
- Test size and power
- Neyman–Pearson lemma with singular alternative mass
- Counting measure on an arbitrary set
- Counting measure is a measure
- Finite, sigma-finite, and semifinite measures
- A measurable function between measurable spaces
- Probability measures and probability spaces
- Expectation of a nonnegative or integrable random variable
- Nonnegative simple measurable functions
- The integral of a nonnegative simple function
- The nonnegative integral agrees with the simple integral on simple functions
Used by
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