Neyman–Pearson simple-hypothesis test
For simple null and alternative laws with common mass/density support, a test rejecting for sufficiently large alternative/null likelihood ratio is most powerful against that alternative among tests of no greater null rejection probability.
Key knowledge
For simple null and alternative laws with common mass/density support, a test rejecting for sufficiently large alternative/null likelihood ratio is most powerful against that alternative among tests of no greater null rejection probability. Threshold randomization can obtain an exact level in a discrete model.
Conditions and scope
- Specify both laws and the level; this optimality does not automatically extend to composite alternatives.
- Use the density inequality rather than divide by a zero null density.
Sources · 1
References
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Evidence and review
Theorem 6.1 and Remark 6.5 randomized-threshold qualification.
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