Re: What's mean "specify the optimal hypothesis test"?

I got a problem. In this problem, consider hypothese

H0: r=0 H1: r=/=0
and observations Zi= r + Wi,
with Wi zero-mean jointly Gaussian but not
independent.
Denoting W=[W1 ... Wn]'
E[WW']=P
And given some other conditions.

the question is "Specify the optimal hypothesis test
for false alarm probability a."

I think this problem is not hard. But I don't know
what the question want. Does it need me to get a
value or something? I don't know what "the optimal
hypothesis test"
mean. I only want to clear what is question want me
to do.

Thanks for help!

James




If P is known, then the test that rejects Ho when

z'P^(-1)z > Chisq(n,1-a)

is UMP invariant.

Jack
.