Size (statistics)
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In statistics, the size of a test is the probability of falsely rejecting the null hypothesis. That is, it is the probability of making a type I error. It is denoted by the Greek letter α (alpha). For a simple hypothesis,
In the case of a , the size is the supremum over all data generating processes that satisfy the null hypotheses.[1]
A test is said to have significance level if its size is less than or equal to . In many cases the size and level of a test are equal.
References[]
- ^ Davidson, Russell; MakKinnon, James G. (2004). Econometric theory and methods. New York, NY [u.a.]: Oxford Univ. Press. ISBN 978-0-19-512372-2.
Davidson, Russell, and James G. MacKinnon. Econometric theory and methods. Vol. 5. New York: Oxford University Press, 2004.
Categories:
- Statistical hypothesis testing
- Statistics stubs