Vanishing shortcoming and asymptotic relative efficiency

T. Inglot, W.C.M. Kallenberg, T. Ledwina

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    Abstract

    The shortcoming of a test is the difference between the maximal attainable power and the power of the test under consideration. Vanishing shortcoming, when the number of observations tends to infinity, is therefore an optimality property of a test. Other familiar optimality criteria are based on the asymptotic relative efficiency of the test. The relations between these optimality criteria are investigated. It turns out that vanishing shortcoming is seemingly slightly stronger than first order efficiency, but in regular cases there is equivalence. The results are in particular applied on tests for goodness-of-fit.
    Original languageUndefined
    Place of PublicationEnschede
    PublisherUniversity of Twente, Department of Applied Mathematics
    Publication statusPublished - 1998

    Publication series

    Name
    PublisherDepartment of Applied Mathematics, University of Twente
    No.1467
    ISSN (Print)0169-2690

    Keywords

    • MSC-62G20
    • MSC-62F05
    • EWI-3287
    • IR-65656
    • MSC-62G10

    Cite this

    Inglot, T., Kallenberg, W. C. M., & Ledwina, T. (1998). Vanishing shortcoming and asymptotic relative efficiency. Enschede: University of Twente, Department of Applied Mathematics.