The Annals of Statistics

Chernoff Efficiency and Deficiency

Wilbert C. M. Kallenberg

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Abstract

In 1952 Chernoff introduced a measure of asymptotic efficiency for tests. Comparison in the sense of Chernoff is concerned with fixed alternatives. In contrast to Bahadur's approach, where the probabilities of first and second kind are treated in an unbalanced way, in Chernoff's approach both probabilities go to zero. For the calculation of Chernoff efficiencies one has to develop large deviation theorems both under the null hypothesis and under the alternative hypothesis. In this paper some basic properties are mentioned and the concept of Chernoff deficiency is introduced in a manner analogous to the Pitman and Bahadur case. It is shown that in typical testing problems in multivariate exponential families, the likelihood ratio test is Chernoff deficient of order $\mathscr{O}(\log n)$. Many of the results agree with corresponding results in the Bahadur case.

Article information

Source
Ann. Statist., Volume 10, Number 2 (1982), 583-594.

Dates
First available in Project Euclid: 12 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aos/1176345799

Digital Object Identifier
doi:10.1214/aos/1176345799

Mathematical Reviews number (MathSciNet)
MR653533

Zentralblatt MATH identifier
0494.62030

JSTOR
links.jstor.org

Subjects
Primary: 62F05: Asymptotic properties of tests
Secondary: 60F10: Large deviations

Keywords
Likelihood ratio test large deviations

Citation

Kallenberg, Wilbert C. M. Chernoff Efficiency and Deficiency. Ann. Statist. 10 (1982), no. 2, 583--594. doi:10.1214/aos/1176345799. https://projecteuclid.org/euclid.aos/1176345799


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