Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2022/iii/paper-223/3/a/solution

Let . For one observation from the unit-variance normal location family,
The sample log-likelihood ratio is therefore . By the Neyman-Pearson lemma, the level- most powerful test rejects for a sufficiently large likelihood ratio, equivalently when , with chosen to give null rejection probability .

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