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Let $X_1, ..., X_n$ be a random sample from $\mathrm{Exp}(\lambda_1)$ and $Y_1, ..., Y_m$ be a random sample from $\mathrm{Exp}(\lambda_2)$. I have found the generalized likelihood ratio test (GLRT) statistic $\Lambda$ for testing $H_0:\lambda_1 =\lambda_2$ vs $H_1:\lambda_1 \neq \lambda_2$ is $\Lambda=\frac{n^n m^m}{(m+n)^{m+n}} T^{-n}(1-T)^{-m}$ where $T = \frac{\sum_i X_i}{\sum_i X_i + \sum_j Y_j}$.

Now I need to find the critical region of the test by the asymptotic distribution of the test $\Lambda$. I know the relation $W = 2 \log(\Lambda) \sim \chi_d^2$ where d is the number of parameters to be tested.

How can I use this relation to find the critical region in the above problem?

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  • $\begingroup$ I've changed the title, since from the question it is obvious that the distribution of statistic is known. $\endgroup$
    – mpiktas
    Apr 4, 2012 at 13:54
  • $\begingroup$ Yes the distribution of the statistics $T$ is $beta(n,m)$ which is known but I don't know the distribution of $\Lambda$ so I need to approximate asymtotically. $\endgroup$
    – David
    Apr 4, 2012 at 14:02
  • $\begingroup$ But you say that $2\log\Lambda\sim \chi^2_d$. Why don't you use this relationship? $\endgroup$
    – mpiktas
    Apr 4, 2012 at 14:08
  • $\begingroup$ This is my question, how to use this to find the critical region? $\endgroup$
    – David
    Apr 4, 2012 at 14:13
  • $\begingroup$ it sounds like you're just asking how to find the quantiles of the null distribution - I'd say use a computer (qchisq in R). $\endgroup$
    – Macro
    May 16, 2012 at 14:28

1 Answer 1

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if

$W = 2 \log(\Lambda) \sim \chi_d^2$

then isn't

${e}^{\frac{\chi^2_{(d,0.975)}}{2}} $

an upper bound for $\Lambda$? I could be wrong.

in R this is found with:

exp(qchisq(.975,d)/2)

and for the lower bound:

exp(qchisq(.025,d)/2)
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  • $\begingroup$ You are correct (+1). $\endgroup$
    – jbowman
    May 16, 2012 at 16:15

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