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Statistica Sinica 3(1993), 103-115


ON THE LOCAL OPTIMALITY OF OPTIMAL LINEAR

TESTS FOR RESTRICTED ALTERNATIVES


Ming-Tan M. Tsai and Pranab Kumar Sen


Academia Sinica and University of North Carolina at Chapel Hill


Abstract: For the multivariate normal mean vector testing problem, it is shown that in the light of local power, the most stringent somewhere most powerful test (MSSMPT) performs better than the likelihood ratio test (LRT) for the entire positive orthant space.



Key words and phrases: Likelihood ratio test, most stringent and somewhere most powerful test, positive orthant alternative, restricted alternatives, uniformly most powerful test.



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