On large deviation theorem for data-driven Neyman's statistic

Tadeusz Inglot

Statistics & Probability Letters, 2000, vol. 47, issue 4, 411-419

Abstract: The aim of the paper is to show that for data-driven Neyman's statistic large deviation theorem does not hold. We derive an explicit estimate from below for probabilities of large and moderate deviations. The main tool is a version of a lower exponential inequality recently obtained by Mogulskii.

Keywords: Moderate; deviation; theorem; Data-driven; Neyman's; statistic; Exponential; inequality (search for similar items in EconPapers)
Date: 2000
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