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Let $(Ω, A,P)$ be a statistical model, $H_{0} = \{P_{0}\}\subseteq P$ a simple null hypothesis, and $H_{1} = \{P_{1}\} ⊂ P$ a different simple alternative, so that $P_{1}$ with respect to $P_{0}$ has a density $L = dP_{1}/dP_{0}$. We assume the distribution $\mathcal{L}_{P_{0}}(L)$ of the Likelihood-Quotient $L$ under $P_{0}$ has a density $f$ w.r.t. the Lebesgue-measure. Let $p : Ω → \mathbb R$ be the $p-$value of the Likelihood-Quotient-Test (Neyman-Pearson-Test) for both Hypotheses. Which of the following statements $A-E$ is definitely true, and why? Only one is true:

$A$ The distribution $L_{P_{0}}(p)$ of $p$-value w.r.t. the null hypothesis has the density $f$ w.r.t the Lebesgue Measure.

$B$ The distribution $L_{P_{1}}(p)$ of $p$-value w.r.t. the alternative hypothesis has the density $f$ w.r.t the Lebesgue Measure.

$C$ The $p-$value is uniformly distributed w.r.t the null hypothesis on the unit interval

$D$ The $p-$value is uniformly distributed w.r.t the alternative hypothesis on the unit interval

$E$ The statements $A-D$ are incorrect.

I am new to statistics. But we do not have any critical region $V$ that is given. I know that the Likelihood Quotient Test is given by the critical region $V$, where $\{ \frac{dP_{1}}{dP_{0}}>c\}\subseteq V \subseteq \{ \frac{dP_{1}}{dP_{0}}\geq c\}$. Furthermore, the $p-$value is based on the infimum of significance levels $a_{V}$. I do not see how any of this may help me prove that statements $A-E$. Any ideas?

MinaThuma
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  • See https://stats.stackexchange.com/questions/435833 and https://stats.stackexchange.com/questions/424169 for more elementary treatments of this result and let them guide you. – whuber Feb 13 '20 at 20:05
  • I do not see how I could adapt those to my case. What is the test statistic in my case? the c? – MinaThuma Feb 13 '20 at 22:24
  • They don't need to be adapted: they *are* your case, merely framed a little differently. – whuber Feb 13 '20 at 22:27

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