A robust version of Neyman's optimal $C(\alpha)$ test is proposed for contamination neighborhoods. The proposed robust test is shown to be asymptotically locally maximin among all asymptotic level $\alpha$ tests. Asymptotic efficiency of the test procedure at the ideal model is investigated. An outlier resistant version of Student's $t$-test is proposed.
Publié le : 1981-09-14
Classification:
least favorable distributions,
optimal $C(\alpha)$ test,
asymptotic local maximin test,
$\epsilon$-contamination,
62G10,
62G35,
62E20
@article{1176345589,
author = {Wang, Paul C. C.},
title = {Robust Asymptotic Tests of Statistical Hypotheses Involving Nuisance Parameters},
journal = {Ann. Statist.},
volume = {9},
number = {1},
year = {1981},
pages = { 1096-1106},
language = {en},
url = {http://dml.mathdoc.fr/item/1176345589}
}
Wang, Paul C. C. Robust Asymptotic Tests of Statistical Hypotheses Involving Nuisance Parameters. Ann. Statist., Tome 9 (1981) no. 1, pp. 1096-1106. http://gdmltest.u-ga.fr/item/1176345589/