In statistical hypothesis testing, a uniformly most powerful (UMP) test is a hypothesis test which has the greatest power ${\displaystyle 1-\beta }$ 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.

## Setting

Let ${\displaystyle X}$ denote a random vector (corresponding to the measurements), taken from a parametrized family of probability density functions or probability mass functions ${\displaystyle f_{\theta }(x)}$, which depends on the unknown deterministic parameter ${\displaystyle \theta \in \Theta }$. The parameter space ${\displaystyle \Theta }$ is partitioned into two disjoint sets ${\displaystyle \Theta _{0))$ and ${\displaystyle \Theta _{1))$. Let ${\displaystyle H_{0))$ denote the hypothesis that ${\displaystyle \theta \in \Theta _{0))$, and let ${\displaystyle H_{1))$ denote the hypothesis that ${\displaystyle \theta \in \Theta _{1))$. The binary test of hypotheses is performed using a test function ${\displaystyle \varphi (x)}$ with a reject region ${\displaystyle R}$ (a subset of measurement space).

${\displaystyle \varphi (x)={\begin{cases}1&{\text{if ))x\in R\\0&{\text{if ))x\in R^{c}\end{cases))}$

meaning that ${\displaystyle H_{1))$ is in force if the measurement ${\displaystyle X\in R}$ and that ${\displaystyle H_{0))$ is in force if the measurement ${\displaystyle X\in R^{c))$. Note that ${\displaystyle R\cup R^{c))$ is a disjoint covering of the measurement space.

## Formal definition

A test function ${\displaystyle \varphi (x)}$ is UMP of size ${\displaystyle \alpha }$ if for any other test function ${\displaystyle \varphi '(x)}$ satisfying

${\displaystyle \sup _{\theta \in \Theta _{0))\;\operatorname {E} [\varphi '(X)|\theta ]=\alpha '\leq \alpha =\sup _{\theta \in \Theta _{0))\;\operatorname {E} [\varphi (X)|\theta ]\,}$

we have

${\displaystyle \forall \theta \in \Theta _{1},\quad \operatorname {E} [\varphi '(X)|\theta ]=1-\beta '(\theta )\leq 1-\beta (\theta )=\operatorname {E} [\varphi (X)|\theta ].}$

## The Karlin–Rubin theorem

The Karlin–Rubin theorem can be regarded as an extension of the Neyman–Pearson lemma for composite hypotheses.[1] Consider a scalar measurement having a probability density function parameterized by a scalar parameter θ, and define the likelihood ratio ${\displaystyle l(x)=f_{\theta _{1))(x)/f_{\theta _{0))(x)}$. If ${\displaystyle l(x)}$ is monotone non-decreasing, in ${\displaystyle x}$, for any pair ${\displaystyle \theta _{1}\geq \theta _{0))$ (meaning that the greater ${\displaystyle x}$ is, the more likely ${\displaystyle H_{1))$ is), then the threshold test:

${\displaystyle \varphi (x)={\begin{cases}1&{\text{if ))x>x_{0}\\0&{\text{if ))x
where ${\displaystyle x_{0))$ is chosen such that ${\displaystyle \operatorname {E} _{\theta _{0))\varphi (X)=\alpha }$

is the UMP test of size α for testing ${\displaystyle H_{0}:\theta \leq \theta _{0}{\text{ vs. ))H_{1}:\theta >\theta _{0}.}$

Note that exactly the same test is also UMP for testing ${\displaystyle H_{0}:\theta =\theta _{0}{\text{ vs. ))H_{1}:\theta >\theta _{0}.}$

## Important case: exponential family

Although the Karlin-Rubin theorem may seem weak because of its restriction to scalar parameter and scalar measurement, it turns out that there exist a host of problems for which the theorem holds. In particular, the one-dimensional exponential family of probability density functions or probability mass functions with

${\displaystyle f_{\theta }(x)=g(\theta )h(x)\exp(\eta (\theta )T(x))}$

has a monotone non-decreasing likelihood ratio in the sufficient statistic ${\displaystyle T(x)}$, provided that ${\displaystyle \eta (\theta )}$ is non-decreasing.

## Example

Let ${\displaystyle X=(X_{0},\ldots ,X_{M-1})}$ denote i.i.d. normally distributed ${\displaystyle N}$-dimensional random vectors with mean ${\displaystyle \theta m}$ and covariance matrix ${\displaystyle R}$. We then have

{\displaystyle {\begin{aligned}f_{\theta }(X)={}&(2\pi )^{-MN/2}|R|^{-M/2}\exp \left\{-{\frac {1}{2))\sum _{n=0}^{M-1}(X_{n}-\theta m)^{T}R^{-1}(X_{n}-\theta m)\right\}\\[4pt]={}&(2\pi )^{-MN/2}|R|^{-M/2}\exp \left\{-{\frac {1}{2))\sum _{n=0}^{M-1}\left(\theta ^{2}m^{T}R^{-1}m\right)\right\}\\[4pt]&\exp \left\{-{\frac {1}{2))\sum _{n=0}^{M-1}X_{n}^{T}R^{-1}X_{n}\right\}\exp \left\{\theta m^{T}R^{-1}\sum _{n=0}^{M-1}X_{n}\right\}\end{aligned))}

which is exactly in the form of the exponential family shown in the previous section, with the sufficient statistic being

${\displaystyle T(X)=m^{T}R^{-1}\sum _{n=0}^{M-1}X_{n}.}$

Thus, we conclude that the test

${\displaystyle \varphi (T)={\begin{cases}1&T>t_{0}\\0&T

is the UMP test of size ${\displaystyle \alpha }$ for testing ${\displaystyle H_{0}:\theta \leqslant \theta _{0))$ vs. ${\displaystyle H_{1}:\theta >\theta _{0))$

## Further discussion

Finally, we note that in general, UMP tests do not exist for vector parameters or for two-sided tests (a test in which one hypothesis lies on both sides of the alternative). The reason is that in these situations, the most powerful test of a given size for one possible value of the parameter (e.g. for ${\displaystyle \theta _{1))$ where ${\displaystyle \theta _{1}>\theta _{0))$) is different from the most powerful test of the same size for a different value of the parameter (e.g. for ${\displaystyle \theta _{2))$ where ${\displaystyle \theta _{2}<\theta _{0))$). As a result, no test is uniformly most powerful in these situations.