# Most powerful test of simple vs. simple in $\mathrm{Unif}[0, \theta]$

Say $$X \sim \mathrm{Unif}[0, \theta]$$. Denote the observations as $$x_i$$ $$(i=1, \cdots, n)$$.

Show that any test $$\phi$$ that satisfies the following two conditions is most powerful test of level $$\alpha$$ for $$H_0 : \theta = \theta_0$$ vs. $$H_1 : \theta = \theta_1$$ $$(\theta_1 > \theta_0)$$.

• $$\phi^{*}(x_1, \cdots, x_n) = 1 \ \ (\mathrm{if} \max\{x_1, \cdots, x_n\}) > \theta_0$$

• $$\mathbb{E}_{\theta_0} \phi^{*}(X) = \alpha$$

Try

By Neyman-Pearson lemma, any test that satisfies

• $$\phi^{*}(x_1, \cdots, x_n) = \begin{cases} 1 & (\mathcal{L}(\theta_1 | x_1, \cdots, x_n)/\mathcal{L}(\theta_0 | x_1, \cdots, x_n) > k) \\ \gamma & (\mathcal{L}(\theta_1 | x_1, \cdots, x_n)/\mathcal{L}(\theta_0 | x_1, \cdots, x_n) = k) \\ 0 & (\mathcal{L}(\theta_1 | x_1, \cdots, x_n)/\mathcal{L}(\theta_0 | x_1, \cdots, x_n) < k) \end{cases}$$

(for some $$\gamma \in [0,1]$$)

• $$\mathbb{E}_{\theta_0} \phi^{*}(X) = \alpha$$

is an MP test for $$H_0$$ vs. $$H_1$$.

Since

\begin{aligned} \mathcal{L}(\theta_1 | x_1, \cdots, x_n)/\mathcal{L}(\theta_0 | x_1, \cdots, x_n) &= (\theta_0 / \theta_1)^n I(\max x_i \le \theta_1)/I(\max x_i \le \theta_0) \\ &= \begin{cases} (\theta_0/\theta_1)^n & (\max x_i > \theta_0) \\ \infty & (\max x_i \le \theta_0) \end{cases} \end{aligned}

we have

$$\phi^{*}(x_1, \cdots, x_n) = \begin{cases}1 & (\max x_i > \theta_0) \\ \alpha & (\max x_i \le \theta_0) \end{cases}$$

is an MP test for $$H_0$$ vs. $$H_1$$.

But this does not mean ANY test that satisfies

• $$\phi^{*}(x_1, \cdots, x_n) = 1 \ \ (\mathrm{if} \max\{x_1, \cdots, x_n\}) > \theta_0$$

• $$\mathbb{E}_{\theta_0} \phi^{*}(X) = \alpha$$

is an MP test, but rather just provides an example of MP test.

Is there anyone to help me out?

• You might want to check the inequality signs when you say $\begin{cases} (\theta_0/\theta_1)^n & (\max x_i > \theta_0) \\ \infty & (\max x_i \le \theta_0) \end{cases}$ as I suspect you intended these the other way round. It does not affect the rest of your argument Nov 30, 2018 at 1:44

The logic is:

• Any test which satisfies the two conditions has the same significance level $$\alpha$$ and power $$1-\left(\frac{\theta_0}{\theta_1}\right)^n +\alpha\left(\frac{\theta_0}{\theta_1}\right)^n$$ as the particular test you found; the

• Given that your test is most powerful of all tests with significance level $$\alpha$$, all the other tests satisfying the two conditions are also most powerful with significance level $$\alpha$$

If you want to check, consider the significance level and power of these two deterministic tests

• $$\phi^{*}(x_1, \cdots, x_n) = \begin{cases} 1 & \text{ when }\max x_i > \theta_0 \sqrt[n]{1-\alpha} \\ 0 & \text{ when }\max x_i \le \theta_0 \sqrt[n]{1-\alpha} \end{cases}$$
• $$\phi^{*}(x_1, \cdots, x_n) = \begin{cases} 1 & \text{ when }\max x_i > \theta_0 \\ 0 & \text{ when }\min x_i \gt \theta_0 \left(1- \sqrt[n]{1-\alpha}\right) \text{ and } \max x_i \le \theta_0 \\ 1 & \text{ when }\min x_i \le \theta_0 \left(1- \sqrt[n]{1-\alpha}\right) \end{cases}$$
• Could you please explain the meaning of the $\phi^*$ notation? My book doesn't use that notation, and I'm finding it extraordinarily confusing. Aug 18, 2021 at 18:58
• @AdrianKeister - I copied it from the question. I doubt that the $*$means anything important. $\phi^*$ here is just a function applied to the observations giving $1$ when the test suggests rejecting $H_0$ and $0$ when the test does not suggest that Aug 18, 2021 at 23:43
• Thanks, Henry, that's helpful. Could you please elaborate on where the $\sqrt[n]{\alpha}$ came from? I'm not following how that arises in your $\phi^*$. Thanks again! Aug 19, 2021 at 17:59
• @AdrianKeister The aim is to get the probability of all $n$ observations being in the desired region to be $1-\alpha$ (so raising the probability each observation is in a suitable interval to the power $n$, so in reverse taking the $n$th root) - but one of my expressions needed a slight correction Aug 19, 2021 at 20:09
• Thanks for your comment. Unfortunately, I'm one of those people who find it very difficult to follow outlines of proofs instead of step-by-step proofs worked out in complete detail (a good bit of the time). Do you have a book or web reference I can examine that solves this problem step-by-step? Thanks again for your time! Aug 19, 2021 at 20:17