Asymptotically Optimal Tests for Multinomial Distributions
Hoeffding, Wassily
Ann. Math. Statist., Tome 36 (1965) no. 6, p. 369-401 / Harvested from Project Euclid
Tests of simple and composite hypothesis for multinomial distributions are considered. It is assumed that the size $\alpha_N$ of a test tends to 0 as the sample size $N$ increases. The main concern of this paper is to substantiate the following proposition: If a given test of size $\alpha_N$ is "sufficiently different" from a likelihood ratio test then there is a likelihood ratio test of size $\leqq\alpha_N$ which is considerably more powerful than the given test at "most" points in the set of alternatives when $N$ is large enough, provided that $\alpha_N \rightarrow 0$ at a suitable rate. In particular, it is shown that chi-square tests of simple and of some composite hypotheses are inferior, in the sense described, to the corresponding likelihood ratio tests. Certain Bayes tests are shown to share the above-mentioned property of a likelihood ratio test.
Publié le : 1965-04-14
Classification: 
@article{1177700150,
     author = {Hoeffding, Wassily},
     title = {Asymptotically Optimal Tests for Multinomial Distributions},
     journal = {Ann. Math. Statist.},
     volume = {36},
     number = {6},
     year = {1965},
     pages = { 369-401},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177700150}
}
Hoeffding, Wassily. Asymptotically Optimal Tests for Multinomial Distributions. Ann. Math. Statist., Tome 36 (1965) no. 6, pp.  369-401. http://gdmltest.u-ga.fr/item/1177700150/