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A formula for deficiency (L-andR-tests)

Abstract

In this paper an analogue of the formulas [D. M. Chibisov,Teor. Veroyatn. Primen.,30, 269–288 (1985);Izv. Akad. Nauk UzSSR,6, 23–30 (1982)] for the difference between the power of a given asymptotically efficient test and that of the most powerful test is justified for one-sample L-and R-tests, i.e., tests based on linear combinations of order statistics and linear rank statistics. This formula directly yields the Hodges-Lehmann deficiency of corresponding tests. A general theorem is stated which is applied to L-and R-tests. The explicit expressions given by this formula for L- and R-tests are also presented. The expression related to R-tests agrees with the one obtained in [W. Albers, P. J. Bickel, and W. R. Van Zwet,Ann. Statist.,4, 108–156 (1976);6, 1170–1171 (1978)]. We present here a nontechnical (heuristic) proof of these results.

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Supported by the Russian Foundation for Fundamental Research (grant No. 93-011-1446).

Proceedings of the XVI Seminar on Stability Problems for Stochastic Models, Part II, Eger, Hungary, 1994.

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Bening, V.E. A formula for deficiency (L-andR-tests). J Math Sci 78, 18–27 (1996). https://doi.org/10.1007/BF02367951

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  • DOI: https://doi.org/10.1007/BF02367951

Keywords

  • Linear Combination
  • Explicit Expression
  • Order Statistic
  • Rank Statistic
  • General Theorem