1.II.12H

Statistics | Part IB, 2003

Suppose that six observations X1,,X6X_{1}, \ldots, X_{6} are selected at random from a normal distribution for which both the mean μX\mu_{X} and the variance σX2\sigma_{X}^{2} are unknown, and it is found that SXX=i=16(xixˉ)2=30S_{X X}=\sum_{i=1}^{6}\left(x_{i}-\bar{x}\right)^{2}=30, where xˉ=16i=16xi\bar{x}=\frac{1}{6} \sum_{i=1}^{6} x_{i}. Suppose also that 21 observations Y1,,Y21Y_{1}, \ldots, Y_{21} are selected at random from another normal distribution for which both the mean μY\mu_{Y} and the variance σY2\sigma_{Y}^{2} are unknown, and it is found that SYY=40S_{Y Y}=40. Derive carefully the likelihood ratio test of the hypothesis H0:σX2=σY2H_{0}: \sigma_{X}^{2}=\sigma_{Y}^{2} against H1:σX2>σY2H_{1}: \sigma_{X}^{2}>\sigma_{Y}^{2} and apply it to the data above at the 0.050.05 level.

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