Hodges-Lehmann optimality of tests
At several places in the literature there are indications that many tests are optimal in the sense of Hodges-Lehmann efficiency. It is argued here that shrinkage of the acceptance regions of the tests to the null set in a coarse way is already enough to ensure optimality. This type of argument can be used to show optimality of e.g. Kolmogorov-Smirnov tests, Cramer-von Mises tests, and likelihood ratio tests and many other tests in exponential families. AMS 1980 Subject Classifications: Primary 62G20; Secondary 62F05, 60F10
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Volume (Year): 14 (1992)
Issue (Month): 1 (May)
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