Past exam of the probability, statistics and options I course of the University of Oxford / 2011 / O / 2 / b / Solution

For $S={\sum }_i{X}_i$, the ratio of the two sample likelihood functions isFor $0<{\mu }_0<{\mu }_1$ it is strictly increasing in $S$. The Neyman-Pearson lemma therefore selects an upper tail:Under the null, $S\sim \mathrm{Poisson}(n{\mu }_0)$, so choose $k$ with this upper-tail probability at most $\alpha$. If exact size $\alpha$ is required, randomize at the adjacent boundary value as needed. The rejection rule is the same for every ${\mu }_1>{\mu }_0$, giving a uniformly most powerful test for the one-sided alternative.