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I. Definitions
Is it open/closed/two sided?
{ }
covers the true parameter (ie P L ( x ) ,U ( x ) )
Example 9.1.6
Set up to illustrate the concepts does not tell you how to obtain the interval.
1 Y 1
P { [ aY , bY ]} = P {aY bY } = P
b a
1 1
= P T
b a
Now, use basic probability and the distribution of Y to develop this expression:
n n
1 1
= = confidence coefficient (not a function of the parameter)
a b
n n
c d
Do the same for the other proposed interval: = 1 1 (a function of
the parameter). So, must construct the infimum, which occurs as . So the
confidence coefficient of this estimator is 0!
Theorem 9.2.2 For each o , let A ( o ) be the acceptance region of a level test of
H o : o . For each x , define a set C ( x ) in the parameter space by
C ( x ) = { o : x A ( o )} . Then the random set C ( X ) is a 1 confidence set.
Conversely, let C ( X ) be a 1 confidence set. Then for any o , define
A ( o ) = { x : o C ( x )} . Then, A ( o ) is an acceptance region of a level test of
H o : o .
H o : = o
H1 : o
a) Set up the LRT test statistic, just as you would for a hypothesis test. After
simplifying,
xi xi
n
( x) = exp n
n o
o
x
i xi
n
*
A ( o ) = x : exp k (See Fig 9.2.2)
o o
x
i xi
n
*
C ( x ) = : exp k (See Fig 9.2.2)
{
C ( x ) = { : L ( x ) U ( x )} = : L ( xi ) U ( xi ) }
So, substituting and noting that you are looking for the values where:
xi xi = xi exp xi
n n
exp
L ( xi ) L ( xi ) U ( xi ) U ( xi )
a n exp ( a ) = b n exp ( b )
The actual solutions are often computed numerically. See text for solution to this
example. You need to use distributions of the statistic here it is simple
( X i ~ Gamma ( n, ) ), but often not.
1
C ( x ) = { : L ( x ) U ( x )} = : xi xi
1
a b
where
1 1
P xi xi = P b
x i
a = 1
a b
H o : p = po
(alternative hypothesis implies p is small under the null hypothesis)
H1 : p > po
So, the confidence interval of the form C ( x ) = { p : L ( x ) < p 1} . Now, we know that
the resulting UMP hypothesis test is MLR and involves T = X i ~ Bin ( n, p ) .
Rejection region is: R = { x : T > k ( po )} , where k is selected to satisfy the size (level) of
the test.
k ( po ) k ( po ) 1
n y n y
p (1 p ) 1 and p (1 p ) < 1
n y n y
y =0 y y =0 y