Asymptotically uniformly most powerful tests in parametric and semiparametric models
Choi, Sungsub ; Hall, W. J. ; Schick, Anton
Ann. Statist., Tome 24 (1996) no. 6, p. 841-861 / Harvested from Project Euclid
Tests of hypotheses about finite-dimensional parameters in a semiparametric model are studied from Pitman's moving alternative (or local) approach using Le Cam's local asymptotic normality concept. For the case of a real parameter being tested, asymptotically uniformly most powerful (AUMP) tests are characterized for one-sided hypotheses, and AUMP unbiased tests for two-sided ones. An asymptotic invariance principle is introduced for multidimensional hypotheses, and AUMP invariant tests are characterized. These provide optimality for Wald, Rao (score), Neyman-Rao (effective score) and likelihood ratio tests in parametric models, and for Neyman-Rao tests in semiparametric models when constructions are feasible. Inversions lead to asymptotically uniformly most accurate confidence sets. Examples include one-, two- and k-sample problems, a linear regression model with unknown error distribution and a proportional hazards regression model with arbitrary baseline hazards. Results are presented in a format that facilitates application in strictly parametric models.
Publié le : 1996-04-14
Classification:  Local alternatives,  effective scores,  unbiased tests,  invariance,  efficient tests,  adaptation,  asymptotic confidence sets,  62F05,  62G20
@article{1032894469,
     author = {Choi, Sungsub and Hall, W. J. and Schick, Anton},
     title = {Asymptotically uniformly most powerful tests in parametric and semiparametric models},
     journal = {Ann. Statist.},
     volume = {24},
     number = {6},
     year = {1996},
     pages = { 841-861},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1032894469}
}
Choi, Sungsub; Hall, W. J.; Schick, Anton. Asymptotically uniformly most powerful tests in parametric and semiparametric models. Ann. Statist., Tome 24 (1996) no. 6, pp.  841-861. http://gdmltest.u-ga.fr/item/1032894469/