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Abstract

Likelihood ratio tests are intuitively appealing. Nevertheless, a number of examples are known in which they perform very poorly. The present paper discusses a large class of situations in which this is the case, and analyzes just how intuition misleads us; it also presents an alternative approach which in these situations is optimal.

Information

Published: 1 January 2006
First available in Project Euclid: 28 November 2007

zbMATH: 1268.62023
MathSciNet: MR2337826

Digital Object Identifier: 10.1214/074921706000000356

Subjects:
Primary: 62F03, 62N05
Secondary: 60J65

Rights: Copyright © 2006, Institute of Mathematical Statistics

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