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Asymptotic properties of Rao's test for testing hypotheses in discrete parameter stochastic processes

  • Y. Rama Krishna Sarma
Article

Summary

In this note some asymptotically optimum tests for testing hypotheses concerning parameters when the observations are dependent are obtained. Test statistics based on the score functions, similar to the one proposed by Rao in the case when the observations are i.i.d. are proposed. Asymptotically UMP tests for one sided hypotheses against one sided alternatives and asymptotically UMP unbiased test for a simple hypothesis against two sided alternatives are derived. In the multiparameter case tests for simple hypotheses that have asymptotically best constant power on some family of surfaces in the parameter space are derived.

Key words and phrases

Asymptotic properties Rao's test dependent observations 

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Copyright information

© The Institute of Statistical Mathematics, Tokyo 1987

Authors and Affiliations

  • Y. Rama Krishna Sarma
    • 1
  1. 1.Indian Statistical InstituteIndia

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