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June 2005 Testing for monotone increasing hazard rate
Peter Hall, Ingrid Van Keilegom
Ann. Statist. 33(3): 1109-1137 (June 2005). DOI: 10.1214/009053605000000039

Abstract

A test of the null hypothesis that a hazard rate is monotone nondecreasing, versus the alternative that it is not, is proposed. Both the test statistic and the means of calibrating it are new. Unlike previous approaches, neither is based on the assumption that the null distribution is exponential. Instead, empirical information is used to effectively identify and eliminate from further consideration parts of the line where the hazard rate is clearly increasing; and to confine subsequent attention only to those parts that remain. This produces a test with greater apparent power, without the excessive conservatism of exponential-based tests. Our approach to calibration borrows from ideas used in certain tests for unimodality of a density, in that a bandwidth is increased until a distribution with the desired properties is obtained. However, the test statistic does not involve any smoothing, and is, in fact, based directly on an assessment of convexity of the distribution function, using the conventional empirical distribution. The test is shown to have optimal power properties in difficult cases, where it is called upon to detect a small departure, in the form of a bump, from monotonicity. More general theoretical properties of the test and its numerical performance are explored.

Citation

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Peter Hall. Ingrid Van Keilegom. "Testing for monotone increasing hazard rate." Ann. Statist. 33 (3) 1109 - 1137, June 2005. https://doi.org/10.1214/009053605000000039

Information

Published: June 2005
First available in Project Euclid: 1 July 2005

zbMATH: 1072.62098
MathSciNet: MR2195630
Digital Object Identifier: 10.1214/009053605000000039

Subjects:
Primary: 62G09, 62G10, 62G20, 62N03

Rights: Copyright © 2005 Institute of Mathematical Statistics

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Vol.33 • No. 3 • June 2005
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