The Annals of Statistics

On the Asymptotic Efficiency of Conditional Tests for Exponential Families

R. Michel

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Abstract

Let $P_\eta, \eta \in \Theta \times \Gamma \subset \mathbb{R} \times \mathbb{R}^k$, be an exponential family. It is shown that the sequence of tests $(\varphi^\ast_n)_{n\in\mathbb{N}}$, where $\varphi^\ast_n, n \in \mathbb{N}$, is u.m.p. in the class of all tests similar with respect to the nuisance-parameter $\gamma$ for the hypothesis $\{P^n_{(\theta, \gamma)}: \gamma \in \Gamma\}$ against alternatives $P^n_{(\theta_1, \eta_1)}, \theta_1 > \theta, \eta_1 \in \Gamma$, is asymptotically efficient in the class $\Phi^\ast_\alpha$ of test-sequences which are asymptotically of level $\alpha$ (continuously in the nuisance-parameter). Here, asymptotic efficiency of $(\varphi^\ast_n)_{n\in\mathbb{N}}$ means that for all $\gamma \in \Gamma, t > 0$, the power of $\varphi^\ast_n$ evaluated at local alternatives $P^n_{(\theta+tn^{-1/2},\gamma)}$ asymptotically attains the upper bound given for test-sequences in $\Phi^\ast_\alpha$.

Article information

Source
Ann. Statist., Volume 7, Number 6 (1979), 1256-1263.

Dates
First available in Project Euclid: 12 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aos/1176344844

Digital Object Identifier
doi:10.1214/aos/1176344844

Mathematical Reviews number (MathSciNet)
MR550148

Zentralblatt MATH identifier
0425.62014

JSTOR
links.jstor.org

Subjects
Primary: 62F05: Asymptotic properties of tests
Secondary: 62F20

Keywords
Exponential families similar tests Neyman structure asymptotic efficiency contiguous alternatives

Citation

Michel, R. On the Asymptotic Efficiency of Conditional Tests for Exponential Families. Ann. Statist. 7 (1979), no. 6, 1256--1263. doi:10.1214/aos/1176344844. https://projecteuclid.org/euclid.aos/1176344844


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