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Definition of Monotonic Probability 📂Mathematical Statistics

Definition of Monotonic Probability

Definition

Let’s define a family of probability mass functions or probability density functions for a parameter $\theta \in \mathbb{R}$ and a univariate random variable $T$ as $G := \left\{ g ( t | \theta) : \theta \in \Theta \right\}$. If for all $\theta_{2} > \theta_{1}$, $$ {{ g \left( t | \theta_{2} \right) } \over { g \left( t | \theta_{1} \right) }} $$ is a monotonic function in $\left\{ t : g \left( t | \theta_{1} \right) > 0 \lor g \left( t | \theta_{2} \right) > 0 \right\}$, then $G$ has a Monotone Likelihood Ratio (MLR).

Description

Many widely known distributions, such as the normal distribution, Poisson distribution, binomial distribution, and the exponential family of distributions, can easily be shown to have the Monotone Likelihood Ratio.

See Also

Karlin-Rubin Theorem

If a distribution has a Monotone Likelihood Ratio, the existence of the most powerful test can easily be assured.