Let $X_1,X_2$ be two independent Poisson random variables with $X_1 \sim \text{Pois}(\lambda_1)$ and $X_2 \sim \text{Pois}(\lambda_2)$. Find the likelihood ratio test for $H_0:\, \lambda_1 = \lambda_2$ vs $H_a:\, \lambda_1 \neq \lambda_2$ with 0.05 significance level.

This is what I did:
$L(\lambda_1,\lambda_2)=$$\lambda_1^{X_1} e^{-\lambda_1}\lambda_2^{X_2} e^{-\lambda_2} \over X_1!X_2! $

After partial differentiating with respect to $\lambda_1$ and $\lambda_2$ respectively I get the maximum likelihood estimates $\hat\lambda_1=X_1$ and $\hat\lambda_2=X_2$.

Then $sup_{\theta\in \Theta}L(\lambda_1,\lambda_2)=$$X_1^{X_1} e^{-(X_1+X_2)}X_2^{X_2}\over X_1!X_2! $

Under$ H_0$ when $\lambda_1=\lambda_2=\lambda$ I get $\hat\lambda={X_1+X_2\over2}$.

Then $sup_{\theta\in \omega}L(\lambda_1,\lambda_2)=$$({X_1+X_2\over2})^{X_1+X_2} e^{-(X_1+X_2)}\over X_1!X_2! $

Therefore likelihood ratio: $\Lambda={sup_{\theta\in \Theta}\over sup_{\theta\in \omega}}={X_1^{X_1}X_2^{X_2} 2^{(X_1+X_2)}\over(X_1+X_2)^{(X_1+X_2)}}$

Therefore Decision rule, Reject $H_0$ if $\Lambda >k$ where k>1 such that
$sup_ {\theta\in \omega} Pr(\Lambda>k $ when$ \lambda_1=\lambda_2)<=0.05$
So I wrote the following R code to determine k

    for (i in 1:nsim){


I get


So my k=7.33.(I have taken $\lambda=10$).
Is my k correct?
Also to determine k does the value of $\lambda$ matter?

Then in order to come up with a power function I wrote the following R code as
power=Pr(Reject $H_0$ when $H_0$ is false)=Pr($\Lambda>7.33$ when $\lambda_1\neq\lambda_2$).
I chose arbitrary $\lambda_1 and \lambda_2$ such that $\lambda_1\neq\lambda_2$ and came up with the following

    for (i in 1:length(lambda1)){
        for(j in 1:10000){


But the powers I get are > f [1] 0.0729 0.0641 0.5150 0.0617 0.0755
Why do I get so low power values? Is my power function wrong?

  • $\begingroup$ See significance of difference between two counts for a conditional approach. $\endgroup$ Sep 19 '15 at 8:24
  • $\begingroup$ @Scortchi I read the link. But in I don't understand where X1 is approximated to a binomial and use of $\begin{align} \theta&=\frac{\lambda_1}{\lambda_1+\lambda_2}\\ \phi&=\lambda_1+\lambda_2 \end{align}$. Is my likelihood estimates wrong? Have I calculated the likelihood ratio incorrectly? $\endgroup$
    – clarkson
    Sep 19 '15 at 9:35
  • $\begingroup$ Your decision rule refers to the supremum of a probability over an undefined $\theta\in\omega$. In terms of the parameter you have defined, you need to find the supremum of a probability over all possible values of $\lambda$, the common Poisson rate under the null hypothesis. All I did differently was get a test statistic whose distribution is the same (exactly binomial by the way) regardless of the value of $\lambda$ by conditioning on the total of counts. (BTW your likelihood function's correct. But note it takes discrete values for any given $\lambda$, so be careful with quantiles.) $\endgroup$ Sep 19 '15 at 17:55

The power really is that low when you're dealing with such small numbers. If you multiplied your rates by ten, you'd have more observations and therefore more weight of evidence with which to reject the null hypothesis.

Examples using an exact Binomial test: (edit to note: my r are your lambda)

     r1 r2        pwr
[1,] 10 12 0.04413046
[2,] 15 13 0.04211265
[3,] 18  8 0.42347262
[4,]  4  5 0.02698215
[5,]  9 11 0.04530927

      r1  r2       pwr
[1,] 100 120 0.2483590
[2,] 150 130 0.2054563
[3,] 180  80 0.9990446
[4,]  40  50 0.1562124
[5,]  90 110 0.2690279

You can reproduce this, but a tweak is needed to your code because it breaks for "large" r1 and r2 owing to the way that d is calculated. If you work with logs instead then you can reproduce these results. Specifically, change the d calculation to


where slog(x)=function(x)log(x+0.0001), then observe the (simulated) power with your original rates, e.g. ...

[1] 0.0712 0.0634 0.5129 0.0825 0.0728
[1] 0.0694 0.0650 0.4989 0.0572 0.0705
[1] 0.0619 0.0687 0.4907 0.0572 0.0641

and the (simulated) power for those lambda* times ten:

[1] 0.2590 0.2100 0.9999 0.1770 0.2868
[1] 0.2613 0.2160 1.0000 0.1754 0.2806
[1] 0.2615 0.2065 1.0000 0.1741 0.2758
  • $\begingroup$ Thank You. I used this question just to practice as I have only started learning likelihood ratio tests. So there is nothing wrong with my likelihood ratio test and the power calculation right? $\endgroup$
    – clarkson
    Sep 19 '15 at 9:38
  • $\begingroup$ Your code appears to be correct for the test you're performing (though you could do parts of it analytically rather than by simulation), but it's not the test that I'd perform. See @Scortchi's link. $\endgroup$
    – Creosote
    Sep 19 '15 at 9:54
  • $\begingroup$ (+1 ) Still be interesting to compare the unconditional power. BTW function(x) ifelse(x==0,0,x*log(x)) is a neater way to cope with $0\log 0$. $\endgroup$ Sep 21 '15 at 18:00

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