Paper 4, Section II, H

Statistics | Part IB, 2011

Consider independent random variables X1,,XnX_{1}, \ldots, X_{n} with the N(μX,σX2)N\left(\mu_{X}, \sigma_{X}^{2}\right) distribution and Y1,,YnY_{1}, \ldots, Y_{n} with the N(μY,σY2)N\left(\mu_{Y}, \sigma_{Y}^{2}\right) distribution, where the means μX,μY\mu_{X}, \mu_{Y} and variances σX2,σY2\sigma_{X}^{2}, \sigma_{Y}^{2} are unknown. Derive the generalised likelihood ratio test of size α\alpha of the null hypothesis H0:σX2=σY2H_{0}: \sigma_{X}^{2}=\sigma_{Y}^{2} against the alternative H1:σX2σY2H_{1}: \sigma_{X}^{2} \neq \sigma_{Y}^{2}. Express the critical region in terms of the statistic T=SXXSXX+SYYT=\frac{S_{X X}}{S_{X X}+S_{Y Y}} and the quantiles of a beta distribution, where

SXX=i=1nXi21n(i=1nXi)2 and SYY=i=1nYi21n(i=1nYi)2S_{X X}=\sum_{i=1}^{n} X_{i}^{2}-\frac{1}{n}\left(\sum_{i=1}^{n} X_{i}\right)^{2} \text { and } S_{Y Y}=\sum_{i=1}^{n} Y_{i}^{2}-\frac{1}{n}\left(\sum_{i=1}^{n} Y_{i}\right)^{2}

[You may use the following fact: if UΓ(a,λ)U \sim \Gamma(a, \lambda) and VΓ(b,λ)V \sim \Gamma(b, \lambda) are independent, then UU+VBeta(a,b).]\left.\frac{U}{U+V} \sim \operatorname{Beta}(a, b) .\right]

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