Admissibility of the likelihood ratio test when a nuisance parameter is present only under the alternative

被引：44

作者：

Andrews, DWK ^{[1
]}

Ploberger, W ^{[1
]}

机构：

[1] VIENNA TECH UNIV,INST OKONOMETRIE OPERAT RES & SYST THEORIE,A-1040 VIENNA,AUSTRIA

来源：

ANNALS OF STATISTICS | 1995年 / 23卷 / 05期

关键词：

admissibility; changepoint test; empirical process; likelihood ratio test; linear regression; nuisance parameter under alternative;

D O I：

10.1214/aos/1176324316

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This paper establishes the asymptotic admissibility of the likelihood ratio (LR) test for a general class of testing problems in which a nuisance parameter is present only under the alternative hypothesis. The paper also establishes the finite sample admissibility of the LR test for testing problems of this sort that arise in Gaussian linear regression models with known variance.

引用

页码：1609 / 1629

页数：21

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