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(20 points) Let X be a random variable with mean p. When X has normal distribution or the sample size is sufficiently large, the
(20 points) Let X be a random variable with mean p. When X has normal distribution or the sample size is sufficiently large, the t-test is used to test the hypotheses Ho vs Ha : g > for some hypothesised value "0. The t-test is implemented in R using the t . test command. If neither X is normally distributed nor the sample size is sufficiently large, a nonparametric alternative to the t-test is the Wilcoxon test which is implemented in R using the command wilcox. test. Conduct a small Monte Carlo study to compare the performance of the two tests when X has (i) normal distribution N ( 11, 1) and (ii) double exponential distribution (location = p, and rate = 1). You can sample from the double exponential distribution using the command rdexp from the nimble package. For each distribution, use three sample sizes n 15, 25, 50. Use a 0.05 for both tests, and set 0. a. For each sample size and each distribution, compute the observed significance level of the t-test and the wilcoxon test by sampling from each distribution under the null hypothesis Ho. Use m 10, 000 Monte Carlo samples. b. For each sample size and each distribution, compute the power of the t-test and the wilcoxon test by sampling from each distribution under the alternative hypothesis Ila with "1 = seq (O , 1 , O. 05) . Use m = 10, 000 Monte Carlo samples. For each sample size and distribution, plot the power curves for the two tests in the same plot using different colors for the curves.
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