Roger Koenker Lecture 11 “ Asymptotic Theory of Testing ” ( Introduction to the Holy Trinity )
نویسنده
چکیده
Remark: Economist’s Heuristics for the Neyman-Pearson Lemma Cosma Shalizi of Carnegie Mellon has suggested the following nice heuristic argument for the optimality of likelihood ratio tests. We want to choose a rejection region, R such that under the alternative hypothesis, the probability of falling into R, which we will denote, Q(R) is as large as possible, given that we satisfy a constraint that the probability falling into R under the null hypothesis, denoted by P (R) doesn’t exceed some specified level α. Then Lagrange tells us to solve, max{Q(R)− λ(P (R)− α}
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