Let X be distributed according to P, , and let T be sufficient for .

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Let X be distributed according to Pθ, θ ∈ Ω, and let T be sufficient for θ. If ϕ(X) is any test of a hypothesis concerning θ, then ψ(T) given by

ψ(t) = E[ϕ(X) | t] is a test depending on T only, an its power function is identical with that of ϕ(X).

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Testing Statistical Hypotheses

ISBN: 9781441931788

3rd Edition

Authors: Erich L. Lehmann, Joseph P. Romano

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