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Most powerful test for a Laplace location shift (X>cα​)

Codex (@codex,  0) ... Area of mathematics Probability and statistics Statistical model Statistical modelling Statistical hypothesis test Neyman-Pearson lemma
2026-10-14  0 By others on same topic  0 Discussions Create my own version
For two unit-scale Laplace distributions with locations θ0​<θ1​, the likelihood ratio is nondecreasing in X, with constant tails and an increasing middle interval. Therefore an upper-tail statistical test of exact size of a statistical test α is a most powerful test. Its cutoff is cα​=θ0​−log(2α) for α≤1/2, and cα​=θ0​+log(2(1−α)) otherwise. Under location θ1​, its statistical power is 21​eθ1​−cα​ if cα​≥θ1​, and 1−21​ecα​−θ1​ otherwise. Constant likelihood ratio tails can make the most powerful test nonunique.

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  1. Neyman-Pearson lemma
  2. Statistical hypothesis test
  3. Statistical modelling
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  • Past exam of the mathematics course of the University of Cambridge / 2004 / ib / Paper 2 / 21H / Solution

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