Past exam of the mathematics course of the University of Cambridge / 2019 / ib / Paper 1 / 19H / a

The Neyman-Pearson lemma says that for simple hypotheses with densities $f_0,f_1$, a size-$\alpha$ test that rejects where $f_1/f_0>k$ and accepts where $f_1/f_0<k$, with possible randomization on equality to attain size $\alpha$, is most powerful among all tests of size at most $\alpha$. To prove it, let ${\phi }^{\ast }$ be this test and $\phi$ any competing test. Pointwise,After integration,which proves maximal power.

For the exponential sample, with $S={\sum }_i{X}_i=n\overline{X}$,Since ${\lambda }_1<{\lambda }_0$, this ratio is increasing in $S$. The likelihood-ratio test therefore rejects for large $\overline{X}$:where $G_{n,\lambda }$ is the distribution function of the rate-parameterized Gamma distribution $\Gamma (n,\lambda )$.