STAT 801: Mathematical Statistics

Unbiased Tests

Definition: A test φ of Θ0 against Θ1 is unbiased level α if it has level α and, for every θ ∈ Θ1 we have

π(θ) ≥ α .

When testing a point null hypothesis like µ = µ0 this requires that the power function be minimized at
µ0 which will mean that if π is differentiable then

π 0 (µ0 ) = 0

Example: N (µ, 1): data X = (X1 , . . . , Xn ). If φ is any test function then

∂
Z
0
π (µ) = φ(x)f (x, µ)dx
∂µ
Differentiate under the integral and use

∂f (x, µ) X
= (xi − µ)f (x, µ)
∂µ
to get the condition Z
φ(x)x̄f (x, µ0 )dx = µ0 α0

Minimize β(µ) subject to two constraints

Eµ0 (φ(X)) = α0

and
Eµ0 (X̄φ(X)) = µ0 α0 .
Fix two values λ1 > 0 and λ2 and minimize

λ1 α + λ2 Eµ0 [(X̄ − µ0 )φ(X)] + β

The quantity in question is just

Z
[φ(x)f0 (x)(λ1 + λ2 (x̄ − µ0 )) + (1 − φ(x))f1 (x)]dx .

As before this is minimized by

f1 (x)
(
1 f0 (x) > λ1 + λ2 (x̄ − µ0 )
φ(x) = f1 (x)
0 f0 (x) < λ1 + λ2 (x̄ − µ0 )

The likelihood ratio f1 /f0 is simply

exp{n(µ1 − µ0 )X̄ + n(µ20 − µ21 )/2}

and this exceeds the linear function

λ1 + λ2 (X̄ − µ0 )
for all X̄ sufficiently large or small. That is,

λ1 α + λ2 Eµ0 [(X̄ − µ0 )φ(X)] + β

1
is minimized by a rejection region of the form

{X̄ > KU } ∪ {X̄ < KL }

Satisfy constraints: adjust KU and KL to get level α and π 0 (µ0 ) = 0. 2nd condition shows rejection region
symmetric about µ0 so test rejects for √
n|X̄ − µ0 | > zα/2
Mimic Neyman Pearson lemma proof to check that if λ1 and λ2 are adjusted so that the unconstrained
problem has the rejection region given then the resulting test minimizes β subject to the two constraints.
A test φ∗ is a Uniformly Most Powerful Unbiased level α0 test if
1. φ∗ has level α ≤ α0 .
2. φ∗ is unbiased.
3. If φ has level α ≤ α0 and φ is unbiased then for every θ ∈ Θ1 we have

Eθ (φ(X)) ≤ Eθ (φ∗ (X))

Conclusion: The two sided z test which rejects if

|Z| > zα/2

where
Z = n1/2 (X̄ − µ0 )
is the uniformly most powerful unbiased test of µ = µ0 against the two sided alternative µ 6= µ0 .

Nuisance Parameters

The t-test is UMPU.

Suppose X1 , . . . , Xn iid N (µ, σ 2 ). Test µ = µ0 or µ ≤ µ0 against µ > µ0 . Parameter space is two
dimensional; boundary between the null and alternative is

{(µ, σ); µ = µ0 , σ > 0}

If a test has π(µ, σ) ≤ α for all µ ≤ µ0 and π(µ, σ) ≥ α for all µ > µ0 then π(µ0 , σ) = α for all σ because
the power function of any test must be continuous. (Uses dominated convergence theorem; power function
is an integral.)
Think of {(µ, σ); µ = µ0 } as parameter space for a model. For this parameter space
X
S= (Xi − µ0 )2

is complete and sufficient. Remember definitions of both completeness and sufficiency depend on the param-
eter space. P
Suppose φ( Xi , S) is an unbiased level α test. Then we have
X
Eµ0 ,σ (φ( Xi , S)) = α

for all σ. Condition on S and get X

Eµ0 ,σ [E(φ( Xi , S)|S)] = α
for all σ. Sufficiency guarantees that
X
g(S) = E(φ( Xi , S)|S)

is a statistic and completeness that

g(S) ≡ α

2
 Now let us fix a single value of σ and a µ1 > µ0 . To make our notation simpler I take µ0 = 0. Our
observations above permit us to condition on S = s. Given S = s we have a level α test which is a function
of X̄.
If we maximize the conditional power of this test for each s then we will maximize its power. What is
the conditional model given S = s? That is, what is the conditional distribution of X̄ given S = s? The
answer is that the joint density of X̄, S is of the form

fX̄,S (t, s) = h(s, t) exp{θ1 t + θ2 s + c(θ1 , θ2 )}

where θ1 = nµ/σ 2 and θ2 = −1/σ 2 .

This makes the conditional density of X̄ given S = s of the form

fX̄|s (t|s) = h(s, t) exp{θ1 t + c∗ (θ1 , s)}

Note disappearance of θ2 and null is θ1 = 0. This permits application of NP lemma to the conditional family
to prove that UMP unbiased test has form

φ(X̄, S) = 1(X̄ > K(S))

√
where K(S) chosen to make conditional level α. The function x 7→ x/ a − x2 is increasing in x for each a
so that we can rewrite φ in the form
q
φ(X̄, S) = 1(n1/2 X̄/ n[S/n − X̄ 2 ]/(n − 1) > K ∗ (S))

for some K ∗ . The quantity

n1/2 X̄
T =p
n[S/n − X̄ 2 ]/(n − 1)
is the usual t statistic and is exactly independent of S (see Theorem 6.1.5 on page 262 in Casella and Berger).
This guarantees that
K ∗ (S) = tn−1,α
and makes our UMPU test the usual t test.

Optimal tests
•
• A
Forgood
two test
one sided
sidedhasorπ(θ)
one large onfamilies
parameter
multiparameterthe families
alternative
with the
MLRanda small
best to beon
UMP the
test null.
exists.
hoped for is UMP Unbiased or Invariant or
Similar.
• Good tests
2. Use
Try to are found as follows:
1. theexpress that to
NP lemma region in terms
determine of a statistic
a good rejectionwhose
regiondefinition doesalternative.
for a simple not depend on the specific
3. If this fails impose an additional criterion such as unbiasedness. Then mimic the NP lemma and
alternative.
again try to simplify the rejection region.