Solved – Likelihood Ratio and Expected Value Relationship

likelihood-ratio

I am to prove that:

1) The expected value of $(Λ^n|H_1) = E(Λ^{(n+1)}|H_0)$

2) The expected value of $(Λ|H_0) = 1 $

where $Λ$ is the likelihood ratio. I know that the likelihood ratio is equal to $f(x|H_1)/f(x|H_0)$ but my textbook does not mention any relationships between the likelihood ratio to expected values. I am still fairly new to these statistics topics so any help/hints is appreciated. Thanks in advance!

Best Answer

Now that any homework deadlines are long past, assuming a continuous random variable $X$ whose densities $f_0(x)$ and $f_1(x)$ enjoy the property that $f_1(x) > 0 \implies f_0(x) > 0$, (that is, the likelihood ratio does not "blow up" at any $x$), we have that $$E[\Lambda(X)\mid H_0] = \int_{\mathbb R}\frac{f_1(x)}{f_0(x)}\cdot f_0(x)\, \mathrm dx = \int_{\mathbb R}f_1(x)\, \mathrm dx = 1.$$

$$E[\Lambda^n(X)\mid H_1] = \int_{\mathbb R}\left[\frac{f_1(x)}{f_0(x)}\right]^n\cdot f_1(x)\, \mathrm dx = \int_{\mathbb R}\left[\frac{f_1(x)}{f_0(x)}\right]^{n+1}\cdot f_0(x)\, \mathrm dx = E[\Lambda^{n+1}(X)\mid H_0].$$