How powerful are data driven score tests for uniformity

• Autorzy: Tadeusz Inglot , Alicja Janic
• Języki publikacji: EN

Abstrakty

EN

We construct a new class of data driven tests for uniformity, which have greater average power than existing ones for finite samples. Using a simulation study, we show that these tests as well as some "optimal maximum test" attain an average power close to the optimal Bayes test. Finally, we prove that, in the middle range of the power function, the loss in average power of the "optimal maximum test" with respect to the Neyman-Pearson tests, constructed separately for each alternative, in the Gaussian shift problem can be measured by the Shannon entropy of a prior distribution. This explains similar behaviour of the average power of our data driven tests.

Kategorie tematyczne

• 62B10: Information-theoretic topics
• 62G10: Hypothesis testing
• 62C10: Bayesian problems; characterization of Bayes procedures

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Applicationes Mathematicae
• Rocznik: 2009
• Tom: 36
• Numer: 4
• Strony: 375-395

Daty

wydano

2009

Twórcy

autor

Tadeusz Inglot

• Tadeusz Inglot, Institute of Mathematics, Polish Academy of Sciences
• Institute of Mathematics and Informatics, Wrocław University of Technology, Wybrzeże Wyspiańskiego 27, 50-370 Wrocław, Poland

autor

Alicja Janic

• Alicja Janic, Institute of Mathematics and Informatics, Wrocław University of Technology, Wybrzeże Wyspiańskiego 27, 50-370 Wrocław, Poland

Identyfikatory

DOI

10.4064/am36-4-1