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Powerful parametric tests based on sum-functions of spacings
Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Statistics.
2013 (English)In: Scandinavian Journal of Statistics, ISSN 0303-6898, E-ISSN 1467-9469, Vol. 40, no 4, 886-898 p.Article in journal (Refereed) Published
Abstract [en]

Assume that we have a sequence of n independent and identically distributed random variables with a continuous distribution function F, which is specified up to a few unknown parameters. In this paper, tests based on sum-functions of sample spacings are proposed, and large sample theory of the tests are presented under simple null hypotheses as well as under close alternatives. Tests, which are optimal within this class, are constructed, and it is noted that these tests have properties that closely parallel those of the likelihood ratio test in regular parametric models. Some examples are given, which show that the proposed tests work also in situations where the likelihood ratio test breaks down. Extensions to more general hypotheses are discussed.

Place, publisher, year, edition, pages
2013. Vol. 40, no 4, 886-898 p.
Keyword [en]
hypothesis testing, likelihood ratio tests, maximum spacing estimator, optimal tests, parametric inference, spacings tests
National Category
Probability Theory and Statistics
Research subject
URN: urn:nbn:se:umu:diva-81149DOI: 10.1111/sjos.12050OAI: diva2:653025
Available from: 2013-10-02 Created: 2013-10-02 Last updated: 2013-12-18Bibliographically approved

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Ekström, Magnus
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