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of a simple null hypothesis that a parameter of interest is equal to some particular value . It is the most powerful test when the true value of is close to . The main advantage of the Score-test is that it does not require an estimate of the information under the alternative hypothesis or unconstrained maximum likelihood. This makes testing feasible when the unconstrained maximum likelihood estimate is a boundary point in the parameter space.
Contents
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1 Single parameter test o 1.1 The statistic 1.1.1 Note on notation o 1.2 Justification o 1.3 The case of a likelihood with nuisance parameters o 1.4 As most powerful test for small deviations o 1.5 Relationship with other hypothesis tests 2 Multiple parameters 3 Special cases 4 See also 5 References
is , when is true.
Note that some texts use an alternative notation, in which the statistic is tested against a normal distribution. This approach is equivalent and gives identical results.
Justification[edit]
This section requires expansion. (June 2008)
Where is the likelihood function, is the value of the parameter of interest under the null hypothesis, and is a constant set depending on the size of the test desired (i.e. the probability of rejecting if is true; see Type I error). The score test is the most powerful test for small deviations from . To see this, consider testing versus . By the Neyman-Pearson lemma, the most powerful test has the form
above with
squared distribution with degrees of freedom equal to the difference in degrees of freedom in the two models.
Multiple parameters[edit]
A more general score test can be derived when there is more than one parameter. Suppose that is the maximum likelihood estimate of under the null hypothesis . Then
, where
and
Special cases[edit]
In many situations, the score statistic reduces to another commonly used statistic.[3] When the data follows a normal distribution, the score statistic is the same as the t statistic.[clarification needed] When the data consists of binary observations, the score statistic is the same as the chisquared statistic in the Pearson's chi-squared test. When the data consists of failure time data in two groups, the score statistic for the Cox partial likelihood is the same as the log-rank statistic in the log-rank test. Hence the log-rank test for difference in survival between two groups is most powerful when the proportional hazards assumption holds