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Likelihood ratio tests

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Presentation on theme: "Likelihood ratio tests"— Presentation transcript:

1 Likelihood ratio tests
3. Hypotheses testing Introduction Wald tests p – values Likelihood ratio tests 1 STATISTICAL INFERENCE

2 Hypotheses testing: introduction
Goal: not finding a parameter value, but deciding on the validity of a statement about the parameter . This statement is the null hypothesis and the problem is to retain or to reject the hypothesis using the sample information. Null hypothesis : Alternative hypothesis : 2 STATISTICAL INFERENCE

3 a Hypotheses testing: introduction Four different outcomes:
TRUE ACCEPT Type I error Type II H0 H1 a Type I error : reject H0 | H0 is true Type II error : accept H0 | H0 is false 3 STATISTICAL INFERENCE

4 Hypotheses testing: introduction
To decide on the null hypothesis, we define the rejection region: e. g., It is a size  test if i. e., if 4 STATISTICAL INFERENCE

5 Hypotheses testing: introduction
Simple hypothesis Composite hypothesis Two-sided hypothesis One-sided hypothesis 5 STATISTICAL INFERENCE

6 Hypotheses testing: Wald test
Let and the sample Consider testing Assume that is asymptotically normal: 6 STATISTICAL INFERENCE

7 Hypotheses testing: Wald test
The rejection region for the Wald test is: and the size is asymptotically . The Wald test provides a size  test for the null hypothesis 7 STATISTICAL INFERENCE

8 Hypotheses testing: p-value
We want to test if the mean of is zero. Let and denote by the values of a particular sample. Consider the sample mean as the test statistic: 8 INFERENCIA ESTADÍSTICA

9 Hypotheses testing: p-value
We use a distance to test the null hypothesis: 9 INFERENCIA ESTADÍSTICA

10 Hypotheses testing: p-value
H0 is rejected when is large, i. e., when is large. This means that is in the distribution tail. The probability of finding a value more extreme than the observed one is This probability is the p-value. 10 INFERENCIA ESTADÍSTICA

11 Hypotheses testing: p-value
Remark: The p-value is the smallest size  for which H0 is rejected. The p-value expresses evidence against H0: the smaller the p-value, the stronger the evidence against H0. Usually, the p-value is considered small when p < 0.01 and large when p > 0.05. 11 STATISTICAL INFERENCE

12 Hypotheses testing: likelihood ratio test
Given , we want to test a hypothesis about with a sample For instance: Under each hypothesis, we obtain a different likelihood: 12 INFERENCIA ESTADÍSTICA

13 Hypotheses testing: likelihood ratio test
We reject H0 if, and only if, i. e., 13 STATISTICAL INFERENCE

14 Hypotheses testing: likelihood ratio test
The general case is where is the parametric space. We reject H0 14 STATISTICAL INFERENCE

15 Hypotheses testing: likelihood ratio test
Since the likelihood ratio is 15 STATISTICAL INFERENCE

16 Hypotheses testing: likelihood ratio test
and the rejection region is 16 STATISTICAL INFERENCE

17 Hypotheses testing: likelihood ratio test
The likelihood ratio statistic is 17 STATISTICAL INFERENCE

18 Hypotheses testing: likelihood ratio test
Theorem Assume that Let Let λ be the likelihood ratio test statistic. Under where r-q is the dimension of Θ minus the dimension of Θ0. The p-value for the test is P{χ2r-q >λ}. 18 STATISTICAL INFERENCE

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