Past exam of the statistics course of the University of Oxford / 2023 / 1 / c / iii

The derivative of the log ratio is $\frac{1}{2}(n/q-1)$, so $\lambda (q)$ increases from zero to one on $(0,n)$ and decreases to zero on $(n,\infty )$. Rejecting for a sufficiently small ratio therefore gives two tails with $0<q_1<n<q_2$.

Under $H_0$, Cochran's theorem gives the exact sampling distribution $Q=S/{\sigma }_0^2\sim {\chi }_{n-1}^2$, independently of the unknown mean. Writing $F_{n-1}$ for its cumulative distribution function, the two cutoffs are determined byThe first equation calibrates the exact size of a statistical test. The second is $\lambda (q_1)=\lambda (q_2)$, so both tails belong to one likelihood ratio cutoff. Hence the exact critical region is $\boxed{\{q\le q_1\}\cup \{q\ge q_2\}}$. Its two tail probabilities are not generally equal: equal-tailed chi-squared cutoffs give a different test.