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December, 1994 Unbiased Testing in Exponential Family Regression
Arthur Cohen, J. H. B. Kemperman, H. B. Sackrowitz
Ann. Statist. 22(4): 1931-1946 (December, 1994). DOI: 10.1214/aos/1176325765


Let $(X_{ij}, \mathbf{z}_i), i = 1, 2, \ldots, k, j = 1, 2, \ldots, n_i$, be independent observations such that $\mathbf{z}_i$ is a fixed $r \times 1$ vector $\lbrack r$ can be 0 (no $\mathbf{z}$'s observed) or $1, 2, \ldots, k - 1\rbrack$, and $X_{ij}$ is distributed according to a one-parameter exponential family which is log concave with natural parameter $\theta_i$. We test the hypothesis that $\theta = \mathbf{Z}\beta$, where $\theta = (\theta_1, \ldots, \theta_k)', \mathbf{Z}$ is the matrix whose $i$th row is $\mathbf{z}'_i$ and $\beta = (\beta_1, \ldots, \beta_r)'$ is a vector of parameters. We focus on $r = 2$ and $\mathbf{z}'_i = (1, z_i), i = 1, 2, \ldots, k, z_i < z_{i + 1}$. The null hypothesis on hand is thus of the form $\theta_i = \beta_1 + \beta_2z_i$. In such a case the model under the null hypothesis becomes logistic regression in the binomial case, Poisson regression in the Poisson case and linear regression in the normal case. We consider mostly the one-sided alternative that the second-order differences of the natural parameters are nonnegative. Such testing problems test goodness of fit vs. alternatives in which the natural parameters behave in a convex way. We find classes of tests that are unbiased and that lie in a complete class. We also note that every admissible test of constant size is unbiased. In some discrete situations we find the minimal complete class of unbiased admissible tests. Generalizations and examples are given.


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Arthur Cohen. J. H. B. Kemperman. H. B. Sackrowitz. "Unbiased Testing in Exponential Family Regression." Ann. Statist. 22 (4) 1931 - 1946, December, 1994.


Published: December, 1994
First available in Project Euclid: 11 April 2007

zbMATH: 0824.62011
MathSciNet: MR1329176
Digital Object Identifier: 10.1214/aos/1176325765

Primary: 62H20
Secondary: 62F03

Keywords: association , change point problems , complete class , Conditionally increasing in sequence , goodness of fit , lack of fit , logistic regression , ordered alternatives , Poisson regression , Polya frequency of order 2 , weak conditionally increasing in sequence

Rights: Copyright © 1994 Institute of Mathematical Statistics


Vol.22 • No. 4 • December, 1994
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