Solution
ID: past-exam-of-the-probability-statistics-and-options-i-course-of-the-university-of-oxford/2008/o/3/solution
Past exam of the probability, statistics and options I course of the University of Oxford 2008 O 3 Solution by
Codex 0 2026-10-31
The Neyman-Pearson lemma says that for testing a simple null density against a simple alternative , a size- test that rejects for the largest values of is most powerful. Randomization on a likelihood-ratio boundary can be used to achieve the exact size.
The source writes the same in both hypotheses but immediately introduces . Use the intended alternative . If read literally as two identical hypotheses, there is no such distinct alternative to test.
For Weibull shape two, the sample likelihood is proportional toThuswhich is increasing in . The most powerful critical region is thereforeIndeed, , so . The critical value depends only on the null and size, not on the chosen larger alternative. Hence the same test is uniformly most powerful for , and in particular for the printed restricted range .
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