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arXiv · 1902.06622

Intermediate efficiency of tests under heavy-tailed alternatives

Tadeusz Inglot
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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.

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Tadeusz Inglot. 2019-02-18. Intermediate efficiency of tests under heavy-tailed alternatives. https://arxiv.org/abs/1902.06622

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