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Hodges-Lehmann optimality of tests

Author

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  • Kallenberg, Wilbert C. M.
  • Kourouklis, Stavros

Abstract

At several places in the literature there are indications that many tests are optimal in the sense of Hodges-Lehmann efficiency. It is argued here that shrinkage of the acceptance regions of the tests to the null set in a coarse way is already enough to ensure optimality. This type of argument can be used to show optimality of e.g. Kolmogorov-Smirnov tests, Cramer-von Mises tests, and likelihood ratio tests and many other tests in exponential families. AMS 1980 Subject Classifications: Primary 62G20; Secondary 62F05, 60F10

Suggested Citation

  • Kallenberg, Wilbert C. M. & Kourouklis, Stavros, 1992. "Hodges-Lehmann optimality of tests," Statistics & Probability Letters, Elsevier, vol. 14(1), pages 31-38, May.
    • Handle: RePEc:eee:stapro:v:14:y:1992:i:1:p:31-38
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    Cited by:

    1. Baringhaus, Ludwig & Gaigall, Daniel, 2017. "Hotelling’s T2 tests in paired and independent survey samples: An efficiency comparison," Journal of Multivariate Analysis, Elsevier, vol. 154(C), pages 177-198.
    2. Canay, Ivan A. & Otsu, Taisuke, 2012. "Hodges–Lehmann optimality for testing moment conditions," Journal of Econometrics, Elsevier, vol. 171(1), pages 45-53.

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