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Uniformly most powerful


In statistical hypothesis testing, a uniformly most powerful (UMP) test is a hypothesis test which has the greatest power 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.

Let denote a random vector (corresponding to the measurements), taken from a parametrized family of probability density functions or probability mass functions , which depends on the unknown deterministic parameter . The parameter space is partitioned into two disjoint sets and . Let denote the hypothesis that , and let denote the hypothesis that . The binary test of hypotheses is performed using a test function .


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