RT Journal Article
T1 Rényi statistics for testing composite hypotheses in general exponential models.
A1 Morales González, Domingo
A1 Pardo Llorente, Leandro
A1 Pardo Llorente, María del Carmen
A1 Vadja, Igor
AB We introduce a family of Renyi statistics of orders r is an element of R for testing composite hypotheses in general exponential models, as alternatives to the previously considered generalized likelihood ratio (GLR) statistic and generalized Wald statistic. If appropriately normalized exponential models converge in a specific sense when the sample size (observation window) tends to infinity, and if the hypothesis is regular, then these statistics are shown to be chi(2)-distributed under the hypothesis. The corresponding Renyi tests are shown to be consistent. The exact sizes and powers of asymptotically alpha-size Renyi, GLR and generalized Wald tests are evaluated for a concrete hypothesis about a bivariate Levy process and moderate observation windows. In this concrete situation the exact sizes of the Renyi test of the order r = 2 practically coincide with those of the GLR and generalized Wald tests but the exact powers of the Renyi test are on average somewhat better.
PB Taylor & Francis
SN 0233-1888
YR 2004
FD 2004-04
LK https://hdl.handle.net/20.500.14352/50297
UL https://hdl.handle.net/20.500.14352/50297
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DS Docta Complutense
RD 22 ago 2024