Hodges-Lehmann optimality of tests

W.C.M. Kallenberg; S. Kourouklis

doi:10.1016/0167-7152(92)90207-L

Hodges-Lehmann optimality of tests

W.C.M. Kallenberg, S. Kourouklis

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Abstract

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 language	Undefined
Pages (from-to)	31-38
Number of pages	8
Journal	Statistics & probability letters
Volume	14
Issue number	1
DOIs	https://doi.org/10.1016/0167-7152(92)90207-L
Publication status	Published - 1992

Keywords

METIS-140516
IR-29882

Access to Document

10.1016/0167-7152(92)90207-L

Kallenberg92hodges

Cite this

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AB - 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.

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DO - 10.1016/0167-7152(92)90207-L

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