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Math 6010 • Linear Models

Spring 2025 • Question 5

Consider the linear model

\[Y_{i} = \beta x_{i} + \epsilon _{i}, 1 \le i \le n,\]

where the \(\epsilon _{i}\) are independent normal random variables with \(\mathbb {E}\epsilon _{i} = 0\) and \(\mathbb {E}\epsilon _{i}^{2} = \sigma ^{2}\). Assume \(\beta \) and \(\sigma ^{2} > 0\) are deterministic but unknown, while the \(x_{i}\) are deterministic and known. Assume also that \(\sum _i x_i \ne 0\). Find the likelihood ratio test for \(\beta = 0\) versus

\[\beta > 0.\]

Raw LaTeX

Consider the linear model

\[Y_{i} = \beta x_{i} + \epsilon_{i}, 1 \le i \le n,\]

where the \(\epsilon_{i}\) are independent normal random variables with \(\mathbb{E}\epsilon_{i} = 0\) and \(\mathbb{E}\epsilon_{i}^{2} = \sigma^{2}\).
Assume \(\beta\) and \(\sigma^{2} > 0\) are deterministic
but unknown, while the \(x_{i}\) are deterministic and
known. Assume also that \(\sum_i x_i \ne 0\). Find the likelihood ratio test for \(\beta = 0\) versus

\[\beta > 0.\]