Past exam of the mathematics course of the University of Cambridge / 2021 / iii / Paper 223 / 3 / b

If $X\sim N(0,{\theta }^2)$, then $Y=|X|$ has a scaled half-normal distribution withPut $c={\Phi }^{-1}(3/4)$. The population median is $t_0=\theta c$, and the asymptotic distribution of a sample median gives

Under $H_0:{\theta }^2=1$, positivity of the scale means $\theta =1$. If $z_{1-\alpha }$ is the $(1-\alpha )$-quantile of the standard normal distribution, an asymptotically level-$\alpha$ test rejects forLarger scale makes the population median $\theta c$ larger, so this is the appropriate one-sided rejection region.