# Consistent test

*consistent statistical test*

A statistical test that reliably distinguishes a hypothesis to be tested from an alternative by increasing the number of observations to infinity.

Let $ X _ {1} \dots X _ {n} $ be a sequence of independent identically-distributed random variables taking values in a sample space $ ( \mathfrak X , {\mathcal B} , {\mathsf P} _ \theta ) $, $ \theta \in \Theta $, and suppose one is testing the hypothesis $ H _ {0} $: $ \theta \in \Theta _ {0} \subset \Theta $ against the alternative $ H _ {1} $: $ \theta \in \Theta _ {1} = \Theta \setminus \Theta _ {0} $, with an error of the first kind (see Significance level) being given in advance and equal to $ \alpha $( $ 0 < \alpha < 0.5 $). Suppose that the first $ n $ observations $ X _ {1} \dots X _ {n} $ are used to construct a statistical test of level $ \alpha $ for testing $ H _ {0} $ against $ H _ {1} $, and let $ \beta _ {n} ( \theta ) $, $ \theta \in \Theta $, be its power function (cf. Power function of a test), which gives for every $ \theta $ the probability that this test rejects $ H _ {0} $ when the random variable $ X _ {i} $ is subject to the law $ {\mathsf P} _ \theta $. Of course $ \beta _ {n} ( \theta ) \leq \alpha $ for all $ \theta \in \Theta $. By increasing the number of observations without limit it is possible to construct a sequence of statistical tests of a prescribed level $ \alpha $ intended to test $ H _ {0} $ against $ H _ {1} $; the corresponding sequence of power functions $ \{ \beta _ {n} ( \theta ) \} $ satisfies the condition

$$ \beta _ {n} ( \theta ) \leq \alpha \ \ \textrm{ for } \textrm{ any } n \ \textrm{ and } \textrm{ all } \ \theta \in \Theta _ {0} . $$

If under these conditions the sequence of power functions $ \{ \beta _ {n} ( \theta ) \} $ is such that, for any fixed $ \theta \in \Theta _ {1} = \Theta \setminus \Theta _ {0} $,

$$ \lim\limits _ {n \rightarrow \infty } \ \beta _ {n} ( \theta ) = 1, $$

then one says that a consistent sequence of statistical tests of level $ \alpha $ has been constructed for testing $ H _ {0} $ against $ H _ {1} $. With a certain amount of license, one says that a consistent test has been constructed. Since $ \beta _ {n} ( \theta ) $, $ \theta \in \Theta _ {1} $( which is the restriction of $ \beta _ {n} ( \theta ) $, $ \theta \in \Theta = \Theta _ {0} \cup \Theta _ {1} $, to $ \Theta _ {1} $), is the power of the statistical test constructed from the observations $ X _ {1} \dots X _ {n} $, the property of consistency of a sequence of statistical tests can be expressed as follows: The corresponding powers $ \beta _ {n} ( \theta ) $, $ \theta \in \Theta _ {1} $, converge on $ \Theta _ {1} $ to the function identically equal to 1 on $ \Theta _ {1} $.

Example. Let $ X _ {1} \dots X _ {n} $ be independent identically-distributed random variables whose distribution function belongs to the family $ H = \{ F ( x) \} $ of all continuous distribution functions on $ \mathbf R ^ {1} $, and let $ p = ( p _ {1} \dots p _ {k} ) $ be a vector of positive probabilities such that $ p _ {1} + \dots + p _ {k} = 1 $. Further, let $ F _ {0} ( x) $ be any distribution function of $ H $. Then $ F _ {0} ( x) $ and $ p $ uniquely determine a partition of the real axis into $ k $ intervals $ ( x _ {0} ; x _ {1} ] \dots ( x _ {k - 1 } ; x _ {k} ] $, where

$$ x _ {0} = - \infty ,\ \ x _ {k} = + \infty , $$

$$ x _ {i} = F _ {0} ^ { - 1 } ( p _ {1} + \dots + p _ {i} ) = \inf \{ x: F _ {0} ( x) \geq p _ {1} + \dots + p _ {i} \} , $$

$$ i = 1 \dots k - 1. $$

In other words, the end points of the intervals are quantiles of the distribution function $ F _ {0} ( x) $. These intervals determine a partition of $ H $ into two disjoint sets $ H _ {0} $ and $ H _ {1} $ as follows: A distribution function $ F $ of $ H $ belongs to $ H _ {0} $ if and only if

$$ F ( x _ {i} ) - F ( x _ {i - 1 } ) = p _ {i} ,\ \ i = 1 \dots k, $$

and otherwise $ F \in H _ {1} $. Now let $ \nu _ {n} = ( \nu _ {n,1} \dots \nu _ {n,k} ) $ be the vector of counts obtained as a result of grouping the first $ n $ random variables $ X _ {1} \dots X _ {n} $( $ n > k $) into the intervals $ ( x _ {0} ; x _ {1} ] \dots ( x _ {k - 1 } ; x _ {k} ] $. Then to test the hypothesis $ H _ {0} $ that the distribution function of the $ X _ {i} $ belongs to the set $ H _ {0} $ against the alternative $ H _ {1} $ that it belongs to the set $ H _ {1} $, one can make use of the "chi-squared" test based on the statistic

$$ X _ {n} ^ {2} = \ \sum _ {i = 1 } ^ { k } \frac{( \nu _ {n,i} - np _ {i} ) ^ {2} }{np _ {i} } . $$

According to this, with significance level $ \alpha $( $ 0 < \alpha < 0.5 $), the hypothesis $ H _ {0} $ must be rejected whenever $ X _ {n} ^ {2} > \chi _ {k - 1 } ^ {2} ( \alpha ) $, where $ \chi _ {k - 1 } ^ {2} ( \alpha ) $ is the upper $ \alpha $- quantile of the "chi-squared" distribution with $ k - 1 $ degrees of freedom. From the general theory of tests of "chi-squared" type it follows that when $ H _ {1} $ is correct,

$$ \lim\limits _ {n \rightarrow \infty } \ {\mathsf P} \{ X _ {n} ^ {2} > \chi _ {k - 1 } ^ {2} ( \alpha ) \mid H _ {1} \} = 1, $$

which also shows the consistency of the "chi-squared" test for testing $ H _ {0} $ against $ H _ {1} $. But if one takes an arbitrary non-empty subset of $ H _ {0} $ and considers the problem of testing against the alternative $ H _ {0} ^ {**} = H _ {0} \setminus H _ {0} ^ {*} $, then it is clear that the "chi-squared" sequence of tests based on the statistics $ X _ {n} ^ {2} $ is not consistent, since

$$ \lim\limits _ {n \rightarrow \infty } \ {\mathsf P} \{ X _ {n} ^ {2} > \chi _ {k - 1 } ^ {2} ( \alpha ) \mid \ H _ {0} \} \leq \alpha < 1, $$

and, in particular,

$$ \lim\limits _ {n \rightarrow \infty } \ {\mathsf P} \{ X _ {n} ^ {2} > \chi _ {k - 1 } ^ {2} ( \alpha ) \mid \ H _ {0} ^ {**} \} \leq \alpha < 1. $$

#### References

[1] | S.S. Wilks, "Mathematical statistics" , Wiley (1962) |

[2] | E. Lehman, "Testing statistical hypotheses" , Wiley (1959) |

**How to Cite This Entry:**

Consistent test.

*Encyclopedia of Mathematics.*URL: http://encyclopediaofmath.org/index.php?title=Consistent_test&oldid=46482