Paper 2, Section I, H

Statistics
Part IB, 2011

Let X1,,XnX_{1}, \ldots, X_{n} be random variables with joint density function f(x1,,xn;θ)f\left(x_{1}, \ldots, x_{n} ; \theta\right), where θ\theta is an unknown parameter. The null hypothesis H0:θ=θ0H_{0}: \theta=\theta_{0} is to be tested against the alternative hypothesis H1:θ=θ1H_{1}: \theta=\theta_{1}.

(i) Define the following terms: critical region, Type I error, Type II error, size, power.

(ii) State and prove the Neyman-Pearson lemma.