On the local minimaxity of a test of independence in incomplete samples (Q1086950): Difference between revisions
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Property / cites work: Minimal complete classes of tests of hypotheses with multivariate one- sided alternatives / rank | |||
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Latest revision as of 18:18, 17 June 2024
scientific article
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English | On the local minimaxity of a test of independence in incomplete samples |
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On the local minimaxity of a test of independence in incomplete samples (English)
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1986
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Let \(X=(X_ 1,X_ 2)\) have p-variate normal distribution with covariance matrix \(\Sigma =(\Sigma_{ij})\), \(i,j=1,2\). Suppose that we have n independent observations on X and that in addition, \(m_ i\) independent observations on \(X_ i\), \(i=1,2\) respectively. It is shown that the locally most powerful invariant test for testing the independence between \(X_ 1\) and \(X_ 2\), obtained by \textit{M. Eaton} and \textit{T. Kariya} [Ann. Stat. 11, 654-665 (1983; Zbl 0524.62051)], is locally minimax with respect to \(tr\Sigma_{12}\Sigma^{- 1}_{22}\Sigma_{21}\Sigma^{-1}_{11}\) within the class of all tests of the same level.
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incomplete samples
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multivariate normal distribution
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locally most powerful invariant test
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testing the independence
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locally minimax
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