Hodges-Lehmann optimality of tests

Wilbert C. M. Kallenberg and Stavros Kourouklis

Statistics & Probability Letters, 1992, vol. 14, issue 1, 31-38

Abstract: At several places in the literature there are indications that many tests are optimal in the sense of Hodges-Lehmann efficiency. It is argued here that shrinkage of the acceptance regions of the tests to the null set in a coarse way is already enough to ensure optimality. This type of argument can be used to show optimality of e.g. Kolmogorov-Smirnov tests, Cramer-von Mises tests, and likelihood ratio tests and many other tests in exponential families. AMS 1980 Subject Classifications: Primary 62G20; Secondary 62F05, 60F10

Keywords: Hodges-Lehmann; efficiency; large; deviations; Kullback-Leibler; information; number; exponential; family; goodness-of-fit; tests (search for similar items in EconPapers)
Date: 1992
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Citations: View citations in EconPapers (2)

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