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Multi-sample Rényi test statistics
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SYSNO ASEP 0332426 Document Type J - Journal Article R&D Document Type Journal Article Subsidiary J Ostatní články Title Multi-sample Rényi test statistics Title Rényiho testovací statistiky pro více výběrů Author(s) Hobza, Tomáš (UTIA-B)
Molina, I. (ES)
Morales, D. (ES)Source Title Brazilian Journal of Probability and Statistics - ISSN 0103-0752
Roč. 23, č. 2 (2009), s. 196-215Number of pages 20 s. Publication form www - www Language eng - English Country BR - Brazil Keywords Rényi divergence ; divergence statistics ; testing composite hypotheses ; homogeneity of variances Subject RIV BB - Applied Statistics, Operational Research R&D Projects 1M0572 GA MŠMT - Ministry of Education, Youth and Sports (MEYS) CEZ AV0Z10750506 - UTIA-B (2005-2011) DOI 10.1214/08-BJPS008 Annotation This paper focuses on testing composite hypotheses about parameters of s independent samples of different sizes. With this purpose, it introduces test statistics based on the family of Rényi divergences between likelihoods. The asymptotic distributions of the proposed test statistics and of the likelihood ratio statistic are derived under standard regularity assumptions. An application to test the homogeneity of variances in data from families belonging to different populations is described and, under this setup, a simulation experiment compares the small sample performance of the likelihood ratio test and some members of the Rényi family of tests. The experiment indicates that some of the Rényi tests perform better under null hypothesis. Workplace Institute of Information Theory and Automation Contact Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201. Year of Publishing 2010
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