The Annals of Statistics

Testing for monotone increasing hazard rate

Peter Hall and Ingrid Van Keilegom

Full-text: Open access

Abstract

A test of the null hypothesis that a hazard rate is monotone nondecreasing, versus the alternative that it is not, is proposed. Both the test statistic and the means of calibrating it are new. Unlike previous approaches, neither is based on the assumption that the null distribution is exponential. Instead, empirical information is used to effectively identify and eliminate from further consideration parts of the line where the hazard rate is clearly increasing; and to confine subsequent attention only to those parts that remain. This produces a test with greater apparent power, without the excessive conservatism of exponential-based tests. Our approach to calibration borrows from ideas used in certain tests for unimodality of a density, in that a bandwidth is increased until a distribution with the desired properties is obtained. However, the test statistic does not involve any smoothing, and is, in fact, based directly on an assessment of convexity of the distribution function, using the conventional empirical distribution. The test is shown to have optimal power properties in difficult cases, where it is called upon to detect a small departure, in the form of a bump, from monotonicity. More general theoretical properties of the test and its numerical performance are explored.

Article information

Source
Ann. Statist., Volume 33, Number 3 (2005), 1109-1137.

Dates
First available in Project Euclid: 1 July 2005

Permanent link to this document
https://projecteuclid.org/euclid.aos/1120224097

Digital Object Identifier
doi:10.1214/009053605000000039

Mathematical Reviews number (MathSciNet)
MR2195630

Zentralblatt MATH identifier
1072.62098

Subjects
Primary: 62G09: Resampling methods 62G10: Hypothesis testing 62G20: Asymptotic properties 62N03: Testing

Keywords
Bandwidth bootstrap convex function cumulative hazard rate kernel methods local alternative monotone function power survival analysis

Citation

Hall, Peter; Van Keilegom, Ingrid. Testing for monotone increasing hazard rate. Ann. Statist. 33 (2005), no. 3, 1109--1137. doi:10.1214/009053605000000039. https://projecteuclid.org/euclid.aos/1120224097


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