测试的大小和重要程度


10

两者之间有什么区别,为什么显着性水平必须始终大于或等于测试的大小?


1
我不了解“测试的大小”的含义。也许你的意思,如“检验统计量” ˚F或ŧ或ž。在那种情况下,显着性水平(p)不必更高或更低。您是从特定来源报价吗?如果是这样,请附上报价,毫无疑问,有人会帮您为您澄清。
— rolando2'3

3
@rolando“测试大小”是一个标准术语:请参阅Scholar.google.com/…。
— whuber

Answers:


22

假设您有一个随机样本 X1,…,Xn 来自涉及参数的分布 θ 假设参数空间中的值 Θ。您将参数空间划分为Θ=Θ0∪Θ1,而您想检验假设

H0:θ∈Θ0,
H1:θ∈Θ1,
这是所谓的零和替代分别假设,。

让 X 表示随机向量所有可能值的样本空间 X=(X1,…,Xn)。您建立测试程序的目标是对样本空间进行分区X分为两部分:关键区域 C,包含的值 X 为此,您将拒绝原假设 H0 (因此,请接受替代方法 H1),以及接受区域 A,包含的值 X 为此,您不会拒绝原假设 H0 (因此,拒绝其他选择 H1)。

Formally, a test procedure can be described as a measurable function φ:X→{0,1}, with the obvious interpretation in terms of the decisions made in favor of each of the hypotheses. The critical region is C=φ−1({1}), and the acceptance region is A=φ−1({0}).

For each test procedure φ, we define its power function πφ:Θ→[0,1] by

πφ(θ)=Pr(φ(X)=1∣θ)=Pr(X∈C∣θ).
In words, πφ(θ) gives you the probability of rejecting H0 when the parameter value is θ.

The decision to reject H0 when θ∈Θ0是错误的。因此,对于给定的问题,您可能只想考虑那些测试过程φ 为此 πφ(θ)≤α,每个 θ∈Θ0,其中 α有一定的意义(0<α<1)。请注意,重要程度是一类测试程序的属性。我们可以将这个类准确地描述为

Tα={φ∈{0,1}X:πφ(θ)≤α,for everyθ∈Θ0}.

For each individual test procedure φ, the maximum probability αφ=supθ∈Θ0πφ(θ) of wrongly rejecting H0 is called the size of the test procedure φ.

It follows directly from these definitions that, once we have established a significance level α, and therefore determined the class Tα of acceptable test procedures, each test procedure φ within this class will have size αφ≤α, and conversely. Concisely, φ∈Tα if and only if αφ≤α.


1
Wow. Thanks for all the effort you invested in this answer.
— asb

1
I came here to learn about size vs level and left understanding hypothesis testing better overall. Excellent combination of intuition and notation.
— gwg
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