Intermediate efficiency of tests under heavy-tailed alternatives
Statistics Theory
2019-02-19 v1 Statistics Theory
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 equal to infinity. Contrary to this, for local square integrable alternatives the intermediate efficiency is finite and can be explicitly calculated.
Cite
@article{arxiv.1902.06622,
title = {Intermediate efficiency of tests under heavy-tailed alternatives},
author = {Tadeusz Inglot},
journal= {arXiv preprint arXiv:1902.06622},
year = {2019}
}