The penalty in data driven Neyman's tests

W.C.M. Kallenberg

    Research output: Book/ReportReportOther research output

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    Abstract

    Data driven Neyman's tests are based on two elements: Neyman's smooth tests in finite dimensional submodels and a selection rule to choose the ``right'' submodel. As selection rule usually (a modification of) Schwarz's rule is applied. In this paper we consider data driven Neyman's tests with selection rules allowing also other penalties than the one in Schwarz's rule. It is shown that the nice properties of consistency against very large classes of alternatives and the more deep result of asymptotic optimality in the sense of vanishing shortcoming continue to hold for other penalties as well, including the one corresponding to Akaike's selection rule.
    Original languageUndefined
    Place of PublicationEnschede
    PublisherUniversity of Twente, Department of Applied Mathematics
    Publication statusPublished - 2000

    Publication series

    Name
    PublisherDepartment of Applied Mathematics, University of Twente
    No.1548
    ISSN (Print)0169-2690

    Keywords

    • EWI-3368
    • IR-65735
    • MSC-62G10
    • MSC-62G20

    Cite this

    Kallenberg, W. C. M. (2000). The penalty in data driven Neyman's tests. Enschede: University of Twente, Department of Applied Mathematics.
    Kallenberg, W.C.M. / The penalty in data driven Neyman's tests. Enschede : University of Twente, Department of Applied Mathematics, 2000.
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    keywords = "EWI-3368, IR-65735, MSC-62G10, MSC-62G20",
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    note = "Imported from MEMORANDA",
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    Kallenberg, WCM 2000, The penalty in data driven Neyman's tests. University of Twente, Department of Applied Mathematics, Enschede.

    The penalty in data driven Neyman's tests. / Kallenberg, W.C.M.

    Enschede : University of Twente, Department of Applied Mathematics, 2000.

    Research output: Book/ReportReportOther research output

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    KW - IR-65735

    KW - MSC-62G10

    KW - MSC-62G20

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    ER -

    Kallenberg WCM. The penalty in data driven Neyman's tests. Enschede: University of Twente, Department of Applied Mathematics, 2000.