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Adaptive Combination of Tests

In: Adaptive Regression

Author

Listed:
  • Yadolah Dodge

    (University of Neuchâtel)

  • Jana Jureĉková

    (Charles University, Department of Probability and Statistics)

Abstract

We have considered adaptive convex combinations of two kinds of estimators. An analogous idea can be exploited for the combinations of two tests of the linear hypothesis in the linear regression model. It turns out that the same adaptive decision rules, that led to the optimal combinations of estimators also lead to the optimal combinations of two tests. The efficiencies of estimating and testing procedures are also closely related; it is well known that the Pitman efficacy of the test coincides with the reciprocal standard deviation of the asymptotic distribution of the corresponding estimator. Noting that, the adaptive combination of two tests can also be considered as the test corresponding to the adaptive combination of two pertaining estimators.

Suggested Citation

  • Yadolah Dodge & Jana Jureĉková, 2000. "Adaptive Combination of Tests," Springer Books, in: Adaptive Regression, chapter 8, pages 115-124, Springer.
    • Handle: RePEc:spr:sprchp:978-1-4419-8766-2_8
    DOI: 10.1007/978-1-4419-8766-2_8
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