The Annals of Statistics

The Shortcoming of Locally Most Powerful Tests in Curved Exponential Families

Wilbert C. M. Kallenberg

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Abstract

Comparison of tests with respect to contiguous alternatives is mostly concerned with fixed levels. Properties of locally most powerful (LMP) tests in this sense are well-known in statistical literature. In this note the behaviour of LMP tests is studied for local (not necessarily contiguous) alternatives and vanishing levels of significance. It turns out that the shortcoming of the LMP test tends to zero at the rate $n^{-1} |\log \alpha_n|^{3/2}$.

Article information

Source
Ann. Statist., Volume 9, Number 3 (1981), 673-677.

Dates
First available in Project Euclid: 12 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aos/1176345472

Digital Object Identifier
doi:10.1214/aos/1176345472

Mathematical Reviews number (MathSciNet)
MR615444

Zentralblatt MATH identifier
0483.62015

JSTOR
links.jstor.org

Subjects
Primary: 62F05: Asymptotic properties of tests

Keywords
Locally most powerful tests shortcoming curved exponential families

Citation

Kallenberg, Wilbert C. M. The Shortcoming of Locally Most Powerful Tests in Curved Exponential Families. Ann. Statist. 9 (1981), no. 3, 673--677. doi:10.1214/aos/1176345472. https://projecteuclid.org/euclid.aos/1176345472


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