On Asymptotically Optimal Tests
Tusnady, G.
Ann. Statist., Tome 5 (1977) no. 1, p. 385-393 / Harvested from Project Euclid
Sequences of tests with error $\exp(-nA)$ of the first type are investigated. It is shown that the error of the second type of such a sequence of tests is bounded by $\exp(- nB)$ where $B$ is determined by the Kullback-Leibler information distance of the hypotheses tested. The information distance between the empirical measure and the null-hypothesis on a finite partition of the sample space is proposed to use as a test statistic. A sufficient condition is given which ensures that this test has error of the second type about $\exp(- nB)$ with the best possible $B$. The exact Bahadur slope of the proposed statistic is investigated.
Publié le : 1977-03-14
Classification:  Asymptotic optimality,  goodness-of-fit,  exact Bahadur slope,  likelihood ratio,  sample entropy,  62G20,  62B10
@article{1176343804,
     author = {Tusnady, G.},
     title = {On Asymptotically Optimal Tests},
     journal = {Ann. Statist.},
     volume = {5},
     number = {1},
     year = {1977},
     pages = { 385-393},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176343804}
}
Tusnady, G. On Asymptotically Optimal Tests. Ann. Statist., Tome 5 (1977) no. 1, pp.  385-393. http://gdmltest.u-ga.fr/item/1176343804/