Wednesday, November 5, 2014

Computing Power Curves

In a recent post I discussed some aspects of the distributions of some common test statistics when the null hypothesis that's being tested is actually false. One of the things that we saw there was that in many cases these distributions are "non-central", with a non-centrality parameter that increases as we move further and further away from the null hypothesis being true.

In such cases, it's the value of the non-centrality parameter that determines the power of tests. For a particular sample size and choice of significance level, this parameter usually depends on the all of the other features of the testing problem in question.

To illustrate this in more detail, let's consider a linear multiple regression model: