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Matching sizes of a one-draw and a two-draw test

Question

X1,X2X_1,X_2 are i.i.d. uniform on [θ,θ+1][\theta,\theta+1]. To test H0:θ=0H_0:\theta=0 versus Ha:θ>0H_a:\theta>0, test A rejects when X1>0.95X_1>0.95 and test B rejects when X1+X2>cX_1+X_2>c. Find cc so that both tests have the same significance level.

Short answer

c=2−0.1≈1.68c=2-\sqrt{0.1}\approx1.68. Test A has α=0.05\alpha=0.05. Under H0H_0 the sum has a triangular density on [0,2][0,2], whose upper tail beyond c∈[1,2]c\in[1,2] is (2−c)22\tfrac{(2-c)^2}{2}; setting this to 0.050.05 gives 2−c=0.12-c=\sqrt{0.1}.

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