A Repeated Significance Test for Distributions with Heavy Tails

DOI10.1081/SQA-200046834MaRDI QIDQ4678863zbMATH OpenFDO

Authors Joseph Glaz, V. Pozdnyakov

Publication date 23 May 2005

Published in Sequential Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1081/SQA-200046834

zbMATH Keywords

expected sample sizeinvariance principleparabolic PDEpartial sums of truncated observationspower function for a repeated significance testsignificance level

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Statistics of extreme values; tail inference (62G32) Sequential statistical analysis (62L10)

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Cites work

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• Crossing probabilities for a square root boundary by a bessel process
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• Large deviations for boundary crossing probabilities
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Cited in

(6)

• Repeated significance tests with biased coin allocation schemes
• Repeated significance tests for exponential families
• Tests of significance for the mean of a finite lot
• Extension of the p-statistics for samples with repetitions
• Group sequential tests: beyond exponential family models
• A nonparametric repeated significance test with adaptive target sample size

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