Limiting values of large deviation probabilities of quadratic statistics

DOI10.1016/0047-259X(90)90023-BMaRDI QIDQ750050zbMATH OpenFDO

Authors G. A. M. Jeurnink, Wilbert C. M. Kallenberg

Publication date 1990

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0047-259X(90)90023-B

zbMATH Keywords

Anderson-Darling statisticBahadur efficiencyeigenfunctionsgeneralized Cramér-von Mises statisticHilbert-Schmidt operatorintegral operatorKullback-Leibler informationlargest eigenvaluelikelihood ratio testslocal limits of large deviation probabilitiesNeyman's smooth testquadratic functionalsquadratic statisticssums of k-dimensional random vectors

Mathematics Subject Classification ID

Large deviations (60F10) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20)

Review text

If T(P) is a functional and \(T_ n=T(\hat P_ n)\) is used as a test statistic then the application of Bahadur efficiency leads to the expression \[ K(\Omega_{\epsilon},P)=\inf \{K(Q,P):\;T(Q)-T(P)>\epsilon \}, \] where K is the Kullback-Leibler information number. But \(K(\Omega_{\epsilon},P)\) is often complicate. Therefore the authors study the behaviour of \(K(\Omega_{\epsilon},P)/\epsilon\) as \(\epsilon\downarrow 0\) for quadratic functionals \(\iint \psi (s,t)dQ(s)dQ(t).\) One typical result is Theorem 3.3, which asserts that \[ \lim_{\epsilon \downarrow 0}K(\Omega_{\epsilon},P)/\epsilon =(2\lambda_ 1)^{-1}, \] where \(\lambda_ 1\) is the largest eigenvalue of the integral operator defined by the kernel \(\psi\). Applications of the results concern the generalized Cramér-von Mises statistic, Neyman's smooth test and likelihood ratio tests.

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Cites work

• A condition under which the Pitman and Bahadur approaches to efficiency coincide
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• Approximation Theorems of Mathematical Statistics
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• scientific article; zbMATH DE number 3143969 (Why is no real title available?)
• scientific article; zbMATH DE number 5604036 (Why is no real title available?)
• scientific article; zbMATH DE number 3990615 (Why is no real title available?)
• scientific article; zbMATH DE number 3733084 (Why is no real title available?)
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• On the Optimum Rate of Transmitting Information

Cited in

(3)

• Large deviations of degenerate Mises functionals.
• Large deviations behavior for the quadratic error of density estimate
• Quadratic and rate-independent limits for a large-deviations functional

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