1.I.7C

Statistics
Part IB, 2007

Let X1,,XnX_{1}, \ldots, X_{n} be independent, identically distributed random variables from the N(μ,σ2)N\left(\mu, \sigma^{2}\right) distribution where μ\mu and σ2\sigma^{2} are unknown. Use the generalized likelihood-ratio test to derive the form of a test of the hypothesis H0:μ=μ0H_{0}: \mu=\mu_{0} against H1:μμ0H_{1}: \mu \neq \mu_{0}.

Explain carefully how the test should be implemented.