Grinshpan
Let us write Xi ≈ xi to indicate the event that Xi takes a value in a small interval about xi ,
1 2 2
so that P (Xi ≈ xi ) = √ e−(xi −µ) /2σ dxi . By independence, we then have
2πσ
n
Y
P (X1 ≈ x1 , . . . , Xn ≈ xn |µ = µ0 ) = P (Xi ≈ xi |µ = µ0 )
i=1
n
Y 1 2 2
= √e−(xi −µ0 ) /2σ dxi
i=1
2πσ
n
( )
√ 1 X
= ( 2πσ)−n exp − 2 (xi − µ0 )2 dx1 . . . dxn .
2σ
i=1
Similarly,
n
( )
√ −n 1 X
P (X1 ≈ x1 , . . . , Xn ≈ xn |µ = µ1 ) = ( 2πσ) exp − 2 (xi − µ1 )2 dx1 . . . dxn .
2σ
i=1
So the likelihood ratio is
P (X1 ≈ x1 , . . . , Xn ≈ xn |µ = µ0 )
l(x1 , . . . , xn ) =
P (X1 ≈ x1 , . . . , Xn ≈ xn |µ = µ1 )
n
( )
1 X 2 2
= exp (xi − µ1 ) − (xi − µ0 )
2σ 2
i=1
n(µ0 − µ1 ) µ0 + µ1
= exp x− .
σ2 2
Observe that the condition l(x1 , . . . , xn ) < c is equivalent to
µ0 + µ1 σ 2 ln c
x > c̃ = + ,
2 n(µ0 − µ1 )
if µ0 < µ1 , and to x < c̃, if µ0 > µ1 . Therefore, any likelihood ratio criterion of the form
l(X1 , . . . , Xn ) < c reduces to the a simple bound on the sample mean, X > c̃ or X < c̃.
One says that X is the statistic of the criterion. The critical threshold c̃ is determined by α.