We present and derive the asymptotic properties of a certain Neyman-Pearson test, relevant for 14 problems concerning discrimination between two competing models. We then study an application in which this test is used to assess the efficacy of designs, the purpose of which is to aid in discriminating 16 between two nonlinear regression models. AMS Subject Classification: Primary: 62F03; 62F05....

This paper address the issue of structural change, caused by ice accretion, on UAVs by utilising a Neyman Pearson (NP) based statistical change detection approach, for the identification of structural changes of fixed wing UAV airfoils. A structural analysis is performed on the nonlinear aircraft system and residuals are generated, where a generalised likelihood ratio test is applied to detect ...

A symmetric version of the Neyman-Pearson test is developed for discriminating between sets of hypotheses and is extended to encompass a new formulation of the problem of parameter estimation based on finite data sets. Such problems can arise in distributed sensing and localization problems in sensor networks, where sensor data must be compressed to account for communication constraints. In thi...

Value-at-risk (VaR) and conditional value-at-risk (CVaR) are popular risk measures from academic, industrial and regulatory perspectives. The problem of minimizing CVaR is theoretically known to be of a Neyman–Pearson type binary solution. We add a constraint on expected return to investigate the mean-CVaR portfolio selection problem in a dynamic setting: the investor is faced with a Markowitz ...

Under regularity assumptions, we establish a sharp large deviation principle for Hermitian quadratic forms of stationary Gaussian processes. Our result is similar to the well-known Bahadur-Rao theorem [2] on the sample mean. We also provide several examples of application such as the sharp large deviation properties of the Neyman-Pearson likelihood ratio test, of the sum of squares, of the Yule...

This article considers the nature and place of tests of statistical significance (ToSS) in science, with particular reference to psychology. Despite the enormous amount of attention given to this topic, psychology’s understanding of ToSS remains deficient. The major problem stems from a widespread and uncritical acceptance of null hypothesis significance testing (NHST), which is an indefensible...

We study finitely repeated two-person zero-sum games in which Player 1 is restricted to mixing over a fixed number of pure strategies while Player 2 is unrestricted. We describe an optimal set of pure strategies for Player 1 along with an optimal mixed strategy. We show that the entropy of this mixed strategy appears as a factor in an exact formula for the value of the game and thus is seen to ...

Correlation of players’ actions may evolve in the common course of play of a repeated game with perfect monitoring (“online correlation”), and we study the concealment of such correlation from a boundedly rational player. We show that “strong” players, i.e., players whose strategic complexity is less stringently bounded, can orchestrate the online correlation of the actions of “weak” players, w...