Asymptotically minimax tests of composite hypotheses for nonergodic type processes

I. V. Basawa and H. L. Koul

Stochastic Processes and their Applications, 1983, vol. 14, issue 1, 41-54

Abstract: Asymptotically efficient tests satisfying a minimax type criterion are derived for testing composite hypotheses involving several parameters in nonergodic type stochastic processes. It is shown, in particular, that the analogue of the usual Neyman's C ([alpha]) type test (i.e., the score test) is not efficient for the nonergodic case. Moreover, the likelihood-ratio statistic is not fully efficient for the model discussed in the paper. The efficient statistic derived here is a modified version of the score-statistic discussed previously by Basawa and Koul (1979).

Keywords: Nonergodic; processes; asymptotic; minimaxity; modified; score; statistic; Bayes; solution (search for similar items in EconPapers)
Date: 1983
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