An Exact Distribution-Free Test for Means of Nonnegative Random Variables

Abstract: Let $X=(X_1,\ldots,X_n)$ be independent nonnegative random variables, not necessarily identically distributed. Let $D=(D_0,D_1,\ldots,D_n)\sim\operatorname{Dir}(1,\ldots,1)$ be independent of $X$, and define $K(x)=\mathbb{P}{\sum_{i=1}^n x_iD_i\le1}$. We prove that, for every $n\ge1$, whenever $\mathbb{E} X_i\le1$ for every $i$, $\mathbb{P}{K(X)\leα}\leα$ for all $0\leα\le1$. Thus $K(X)$ is a finite-sample, distribution-free $p$-value for testing the null hypothesis $\mathbb{E}X_i \le 1$ for all $i$. This proves a conjecture of Gaffke (2005).