Size (statistics)
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. For a simple hypothesis,
In the case of a composite null hypothesis, the size is the supremum over all data generating processes that satisfy the null hypotheses.
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.
