1.II.18H

Statistics | Part IB, 2008

Suppose that X1,,XnX_{1}, \ldots, X_{n} is a sample of size nn with common N(μX,1)N\left(\mu_{X}, 1\right) distribution, and Y1,,YnY_{1}, \ldots, Y_{n} is an independent sample of size nn from a N(μY,1)N\left(\mu_{Y}, 1\right) distribution.

(i) Find (with careful justification) the form of the size- α\alpha likelihood-ratio test of the null hypothesis H0:μY=0H_{0}: \mu_{Y}=0 against alternative H1:(μX,μY)H_{1}:\left(\mu_{X}, \mu_{Y}\right) unrestricted.

(ii) Find the form of the size- α\alpha likelihood-ratio test of the hypothesis

H0:μXA,μY=0H_{0}: \mu_{X} \geqslant A, \mu_{Y}=0

against H1:(μX,μY)H_{1}:\left(\mu_{X}, \mu_{Y}\right) unrestricted, where AA is a given constant.

Compare the critical regions you obtain in (i) and (ii) and comment briefly.

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