The Annals of Statistics

Intermediate Efficiency, Theory and Examples

Wilbert C. M. Kallenberg

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Abstract

Comparison of tests can be made in a local way using the concept of Pitman efficiency or in a non-local way using for instance Bahadur efficiency. In the local case the level of significance is kept fixed, whereas the non-local comparison typically deals with very small levels. These points of view may be seen as the extreme points of view. Here a possibly more realistic intermediate approach is introduced: as the number of observations tends to infinity the level is sent to zero, but not so very fast, in that way filling the gap between the Pitman and Bahadur approaches. The theory is exemplified by results on likelihood ratio tests, locally most powerful tests, and simple linear rank tests.

Article information

Source
Ann. Statist., Volume 11, Number 1 (1983), 170-182.

Dates
First available in Project Euclid: 12 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aos/1176346067

Digital Object Identifier
doi:10.1214/aos/1176346067

Mathematical Reviews number (MathSciNet)
MR684874

Zentralblatt MATH identifier
0512.62057

JSTOR
links.jstor.org

Subjects
Primary: 62F20
Secondary: 62G20: Asymptotic properties

Keywords
Intermediate efficiency large deviations moderate deviations likelihood ratio test locally most powerful test simple linear rank test

Citation

Kallenberg, Wilbert C. M. Intermediate Efficiency, Theory and Examples. Ann. Statist. 11 (1983), no. 1, 170--182. doi:10.1214/aos/1176346067. https://projecteuclid.org/euclid.aos/1176346067


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