Asymptotic Relative Efficiency of Tests : ARE on a G String
نویسنده
چکیده
In this lecture I want delve a bit more deeply into the problem of comparing performance of various tests. Among other things I will try to provide an exposition of Chernoff’s (1952) result employed in Lars Hansen’s talks here several years ago. The lecture is based on van der Vaart (1998, Chapter 14). Consider the problem of testing H0 : θ ∈ Θ0 vs H1 : θ ∈ Θ1, using a test statistic Tn that rejects H0 if Tn falls into the critical region Kn. The power function of the test is the function,
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