Question
Let X1, X2,...,Xn be i.i.d. random variables from a double exponential distribution with density f (x) = (1/2) exp(|x|). Derive a likelihood ratio test of
Let X1, X2,...,Xn be i.i.d. random variables from a double exponential distribution with density f (x) = (1/2) exp(|x|). Derive a likelihood ratio test of the hypothesis H0 : = 0 versus H1 : = 1, where 0 and 1 > 0 are specied numbers. Is the test uniformly most powerful against the alternative H1 : > 0?
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An Introduction to the Mathematics of financial Derivatives
Authors: Salih N. Neftci
2nd Edition
978-0125153928, 9780080478647, 125153929, 978-0123846822
