Neyman-Pearson lemma

Meanings

1. A lemma stating that when performing a hypothesis test between two point hypotheses H₀: θ = θ₀ and H₁: θ = θ₁, then the likelihood-ratio test which rejects H₀ in favour of H₁ when Λ(x)=(L(θ₀∣x))/(L(θ₁∣x))≤η where P(Λ(X)≤η∣H_0)=α is the most powerful test of size α for a threshold η.

Etymology

Named after Jerzy Neyman and Egon Pearson.