3.I.8D

Statistics
Part IB, 2005

Let X1,,XnX_{1}, \ldots, X_{n} be a random sample from a normal distribution with mean μ\mu and variance σ2\sigma^{2}, where μ\mu and σ2\sigma^{2} are unknown. Derive the form of the size- α\alpha generalized likelihood-ratio test of the hypothesis H0:μ=μ0H_{0}: \mu=\mu_{0} against H1:μμ0H_{1}: \mu \neq \mu_{0}, and show that it is equivalent to the standard tt-test of size α\alpha.

[You should state, but need not derive, the distribution of the test statistic.]