Intermediate efficiency of tests under heavy-tailed alternatives

zbMATH Open1468.62279arXiv1902.06622MaRDI QIDQ4999840FDOQ4999840

Authors: T. Inglot 

Publication date: 2 July 2021

Abstract: We show that for local alternatives which are not square integrable the intermediate (or Kallenberg) efficiency of the Neyman-Pearson test for uniformity with respect to the classical Kolmogorov-Smirnov test is equal to infinity. Contrary to this, for local square integrable alternatives the intermediate efficiency is finite and can be explicitly calculated.

Full work available at URL: https://arxiv.org/abs/1902.06622

Recommendations

• Generalized intermediate efficiency of goodness-of-fit tests.
• Intermediate efficiency of some max-type statistics
• Intermediate efficiency by shifting alternatives and evaluation of power
• Intermediate efficiency of some weighted goodness-of-fit statistics
• Intermediate efficiency in nonparametric testing problems with an application to some weighted statistics

zbMATH Keywords

goodness-of-fit testlocal alternativesasymptotic relative efficiencyKolmogorov-Smirnov testNeyman-Pearson testintermediate efficiencyheavy-tailed alternativessquare integrable alternatives

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Large deviations (60F10) Statistics of extreme values; tail inference (62G32)

Cites Work

• Exponential inequalities for sums of random vectors
• Asymptotic optimality of data-driven Neyman's tests for uniformity
• On Asymptotically Efficient Statistical Inference for Moderate Deviation Probabilities
• On probabilities of excessive deviations for Kolmogorov-Smirnov, Cramér-von Mises and chi-square statistics
• Intermediate approach to comparison of some goodness-of-fit tests
• On local and nonlocal measures of efficiency
• Generalized intermediate efficiency of goodness-of-fit tests.
• Intermediate efficiency of some max-type statistics
• Moderate deviations and intermediate efficiency for lack-of-fit tests
• Intermediate efficiency in nonparametric testing problems with an application to some weighted statistics

Cited In (10)

• On the intermediate asymptotic efficiency of goodness-of-fit tests in multinomial distributions
• A new set of tools for goodness-of-fit validation
• Intermediate efficiency by shifting alternatives and evaluation of power
• Which power of goodness of fit tests can really be expected: intermediate versus contiguous alternatives
• Generalized intermediate efficiency of goodness-of-fit tests.
• Local efficiency of integrated goodness-of-fit tests under skew alternatives
• Intermediate efficiency in nonparametric testing problems with an application to some weighted statistics
• Intermediate efficiency of some weighted goodness-of-fit statistics
• Intermediate efficiency of some max-type statistics
• Note on intermediate efficiencies for certain goodness of fit tests

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