Hodges-Lehmann optimality of tests

W.C.M. Kallenberg, S. Kourouklis

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    At several places in the literature there are indications that many tests are optimal in the sense of Hodges-Lehmann efficiency. It is argued here that shrinkage of the acceptance regions of the tests to the null set in a coarse way is already enough to ensure optimality. This type of argument can be used to show optimality of e.g. Kolmogorov-Smirnov tests, Cramér-von Mises tests, and likelihood ratio tests and many other tests in exponential families.
    Original languageUndefined
    Pages (from-to)31-38
    Number of pages8
    JournalStatistics & probability letters
    Issue number1
    Publication statusPublished - 1992


    • METIS-140516
    • IR-29882

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