Solved – Hypothesis testing of normal distribution, known mean unknown variance

hypothesis testingmaximum likelihoodnormal distributionself-study

I've been working on review problems, and this one has me completely stumped.

Let $X_1 … X_{10}$ be a random sample from a $N(3,\sigma^2)$ distribution, where $\sigma^2$ is unknown. Using the likelihood ratio test, determine a 5%-level critical region test for $H_0 : \sigma^2 = 1 $ vs. $H_1 : \sigma^2 \neq 1$ (and, trivially, $\sigma^2 >0$).

It appears that in the general case, when one is testing a hypothesis about the variance, a chi-square statistic is used, which gives me something of an end-goal, but I'm not sure how to get there.

The joint pdf for the 10 r.v.s should be $\large(\frac{1}{\sqrt{2\pi\sigma^2}})^{10}\cdot e^-\frac{\sum_{i=1}^{10} (X_i – 3)^2}{2\sigma^2}$

Under the null hypothesis, this yields $\large(\frac{1}{\sqrt{2\pi}})^{10}\cdot e^-\frac{\sum_{i=1}^{10} (X_i – 3)^2}{2}$, since $\sigma^2 = 1$

Under the alternative hypothesis, we have $\large(\frac{1}{\sqrt{2\pi\hat\sigma^2}})^{10}\cdot e^-\frac{\sum_{i=1}^{10} (X_i – 3)^2}{2\hat\sigma^2}$

Setting these as numerator and denominator, respectively, I get

$\LARGE\frac{\exp(^-\frac{\sum_{i=1}^{10} (X_i – 3)^2}{2})}{(\frac{1}{\hat{\sigma}})^{10}\cdot \exp(^-\frac{\sum_{i=1}^{10} (X_i – 3)^2}{2\hat\sigma^2})} = \Lambda$

I believe the numerator has 0 free parameters, and the denominator has 1.

In order to get the log-likelihood, I apply $ln(\Lambda)$, and we know that $\hat\sigma^2$ can be represented as $\frac{1}{10}\sum_{i=1}^{10} (X_i-3)^2$, so further simplification yields

$-2Ln(\Lambda) = \sum(X_i-3)^2-10+10ln(\frac{10}{\sum(Xi-3)^2})$

According to the problem, this should be a $\chi_{10}^2$ statistic, but I don't know how to justify this (probably graphically)?

Again, I greatly appreciate the help!

Edit (and my proposed answer): If I instead put everything in terms of $\hat\sigma^2$, I end up with the following:

$10(\hat\sigma^2-ln(\sigma^2)-1)$, and since I'm purely looking to see if this monotonic, I can simplify this to $\hat\sigma^2-ln(\hat\sigma^2)$, which a quick graph shows to be not-monotonic.
This means we are going to do a two sided test under the null hypothesis. We know $\hat\sigma^2$ follows a $\chi^2_10$ distribution so we reject $H_0$ at when $n*\sigma^2< $$\chi_{.025,10}^2$ and at $n*\sigma^2>\chi_{.975,10}^2$

Best Answer

Let's say you get some statistic, $\Lambda$, and let's imagine you don't make any errors.

Then if you can work out its distribution under the null hypothesis, you're done, you have a test.

More generally, you have to employ an asymptotic approximation:

http://en.wikipedia.org/wiki/Likelihood-ratio_test#Use