The Annals of Statistics
- Ann. Statist.
- Volume 19, Number 2 (1991), 918-934.
Sensitive and Sturdy $p$-Values
We introduce new criteria for evaluating test statistics based on the $p$-values of the statistics. Given a set of test statistics, a good statistic is one which is robust in being reasonably sensitive to all departures from the null implied by that set. We present a constructive approach to finding the optimal statistic. We apply the criteria to two-sided problems; combining independent tests; testing that the mean of a spherical normal distribution is 0, and extensions to other spherically symmetric and exponential distributions; Bartlett's problem of testing the equality of several normal variances; and testing for one outlier in a normal linear model. For the most part, the optimal statistic is quite easy to use. Often, but not always, it is the likelihood ratio statistic.
Ann. Statist., Volume 19, Number 2 (1991), 918-934.
First available in Project Euclid: 12 April 2007
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Marden, John I. Sensitive and Sturdy $p$-Values. Ann. Statist. 19 (1991), no. 2, 918--934. doi:10.1214/aos/1176348128. https://projecteuclid.org/euclid.aos/1176348128