# Uniformly most powerful test

Short description: Hypothesis test

In statistical hypothesis testing, a uniformly most powerful (UMP) test is a hypothesis test which has the greatest power $\displaystyle{ 1 - \beta }$ among all possible tests of a given size α. For example, according to the Neyman–Pearson lemma, the likelihood-ratio test is UMP for testing simple (point) hypotheses.

## Setting

Let $\displaystyle{ X }$ denote a random vector (corresponding to the measurements), taken from a parametrized family of probability density functions or probability mass functions $\displaystyle{ f_{\theta}(x) }$, which depends on the unknown deterministic parameter $\displaystyle{ \theta \in \Theta }$. The parameter space $\displaystyle{ \Theta }$ is partitioned into two disjoint sets $\displaystyle{ \Theta_0 }$ and $\displaystyle{ \Theta_1 }$. Let $\displaystyle{ H_0 }$ denote the hypothesis that $\displaystyle{ \theta \in \Theta_0 }$, and let $\displaystyle{ H_1 }$ denote the hypothesis that $\displaystyle{ \theta \in \Theta_1 }$. The binary test of hypotheses is performed using a test function $\displaystyle{ \varphi(x) }$ with a reject region $\displaystyle{ R }$ (a subset of measurement space).

$\displaystyle{ \varphi(x) = \begin{cases} 1 & \text{if } x \in R \\ 0 & \text{if } x \in R^c \end{cases} }$

meaning that $\displaystyle{ H_1 }$ is in force if the measurement $\displaystyle{ X \in R }$ and that $\displaystyle{ H_0 }$ is in force if the measurement $\displaystyle{ X\in R^c }$. Note that $\displaystyle{ R \cup R^c }$ is a disjoint covering of the measurement space.

## Formal definition

A test function $\displaystyle{ \varphi(x) }$ is UMP of size $\displaystyle{ \alpha }$ if for any other test function $\displaystyle{ \varphi'(x) }$ satisfying

$\displaystyle{ \sup_{\theta\in\Theta_0}\; \operatorname{E}[\varphi'(X)|\theta]=\alpha'\leq\alpha=\sup_{\theta\in\Theta_0}\; \operatorname{E}[\varphi(X)|\theta]\, }$

we have

$\displaystyle{ \forall \theta \in \Theta_1, \quad \operatorname{E}[\varphi'(X)|\theta]= 1 - \beta'(\theta) \leq 1 - \beta(\theta) =\operatorname{E}[\varphi(X)|\theta]. }$

## The Karlin–Rubin theorem

The Karlin–Rubin theorem can be regarded as an extension of the Neyman–Pearson lemma for composite hypotheses.[1] Consider a scalar measurement having a probability density function parameterized by a scalar parameter θ, and define the likelihood ratio $\displaystyle{ l(x) = f_{\theta_1}(x) / f_{\theta_0}(x) }$. If $\displaystyle{ l(x) }$ is monotone non-decreasing, in $\displaystyle{ x }$, for any pair $\displaystyle{ \theta_1 \geq \theta_0 }$ (meaning that the greater $\displaystyle{ x }$ is, the more likely $\displaystyle{ H_1 }$ is), then the threshold test:

$\displaystyle{ \varphi(x) = \begin{cases} 1 & \text{if } x \gt x_0 \\ 0 & \text{if } x \lt x_0 \end{cases} }$
where $\displaystyle{ x_0 }$ is chosen such that $\displaystyle{ \operatorname{E}_{\theta_0}\varphi(X)=\alpha }$

is the UMP test of size α for testing $\displaystyle{ H_0: \theta \leq \theta_0 \text{ vs. } H_1: \theta \gt \theta_0 . }$

Note that exactly the same test is also UMP for testing $\displaystyle{ H_0: \theta = \theta_0 \text{ vs. } H_1: \theta \gt \theta_0 . }$

## Important case: exponential family

Although the Karlin-Rubin theorem may seem weak because of its restriction to scalar parameter and scalar measurement, it turns out that there exist a host of problems for which the theorem holds. In particular, the one-dimensional exponential family of probability density functions or probability mass functions with

$\displaystyle{ f_\theta(x) = g(\theta) h(x) \exp(\eta(\theta) T(x)) }$

has a monotone non-decreasing likelihood ratio in the sufficient statistic $\displaystyle{ T(x) }$, provided that $\displaystyle{ \eta(\theta) }$ is non-decreasing.

## Example

Let $\displaystyle{ X=(X_0 ,\ldots , X_{M-1}) }$ denote i.i.d. normally distributed $\displaystyle{ N }$-dimensional random vectors with mean $\displaystyle{ \theta m }$ and covariance matrix $\displaystyle{ R }$. We then have

\displaystyle{ \begin{align} f_\theta (X) = {} & (2 \pi)^{-MN/2} |R|^{-M/2} \exp \left\{-\frac 1 2 \sum_{n=0}^{M-1} (X_n - \theta m)^T R^{-1}(X_n - \theta m) \right\} \\[4pt] = {} & (2 \pi)^{-MN/2} |R|^{-M/2} \exp \left\{-\frac 1 2 \sum_{n=0}^{M-1} \left (\theta^2 m^T R^{-1} m \right ) \right\} \\[4pt] & \exp \left\{-\frac 1 2 \sum_{n=0}^{M-1} X_n^T R^{-1} X_n \right\} \exp \left\{\theta m^T R^{-1} \sum_{n=0}^{M-1}X_n \right\} \end{align} }

which is exactly in the form of the exponential family shown in the previous section, with the sufficient statistic being

$\displaystyle{ T(X) = m^T R^{-1} \sum_{n=0}^{M-1}X_n. }$

Thus, we conclude that the test

$\displaystyle{ \varphi(T) = \begin{cases} 1 & T \gt t_0 \\ 0 & T \lt t_0 \end{cases} \qquad \operatorname{E}_{\theta_0} \varphi (T) = \alpha }$

is the UMP test of size $\displaystyle{ \alpha }$ for testing $\displaystyle{ H_0: \theta \leqslant \theta_0 }$ vs. $\displaystyle{ H_1: \theta \gt \theta_0 }$

## Further discussion

Finally, we note that in general, UMP tests do not exist for vector parameters or for two-sided tests (a test in which one hypothesis lies on both sides of the alternative). The reason is that in these situations, the most powerful test of a given size for one possible value of the parameter (e.g. for $\displaystyle{ \theta_1 }$ where $\displaystyle{ \theta_1 \gt \theta_0 }$) is different from the most powerful test of the same size for a different value of the parameter (e.g. for $\displaystyle{ \theta_2 }$ where $\displaystyle{ \theta_2 \lt \theta_0 }$). As a result, no test is uniformly most powerful in these situations.

## References

1. Casella, G.; Berger, R.L. (2008), Statistical Inference, Brooks/Cole. ISBN:0-495-39187-5 (Theorem 8.3.17)