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WROCŁAW UNIVERSITY
OF SCIENCE AND
TECHNOLOGY

Contents of PMS, Vol. 40, Fasc. 2,
pages 331 - 348
DOI: 10.37190/0208-4147.40.2.8
Published online 10.8.2020
 

Intermediate efficiency of tests under heavy-tailed alternatives

Tadeusz Inglot

Abstract: We show that for local alternatives which are not square integrable the intermediate (or Kallenberg) efficiency of the Neyman–Pearson test for uniformity with respect to the classical Kolmogorov–Smirnov test is infinite. By contrast, for square integrable local alternatives the intermediate efficiency is finite and can be explicitly calculated.

2010 AMS Mathematics Subject Classification: Primary 62G10; Secondary 62G20, 60F10.

Keywords and phrases: asymptotic relative efficiency, intermediate efficiency, goodness-of-fit test, Kolmogorov--Smirnov test, Neyman--Pearson test, local alternatives, heavy-tailed alternatives, square integrable alternatives.

References


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