Asymptotic properties of Rao's test for testing hypotheses in discrete parameter stochastic processes |
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Authors: | Y Rama Krishna Sarma |
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Institution: | (1) Indian Statistical Institute, India |
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Abstract: | Summary In this note some asymptotically optimum tests for testing hypotheses concerning parameters when the observations are dependent
are obtained. Test statistics based on the score functions, similar to the one proposed by Rao in the case when the observations
are i.i.d. are proposed. Asymptotically UMP tests for one sided hypotheses against one sided alternatives and asymptotically
UMP unbiased test for a simple hypothesis against two sided alternatives are derived. In the multiparameter case tests for
simple hypotheses that have asymptotically best constant power on some family of surfaces in the parameter space are derived. |
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Keywords: | Asymptotic properties Rao's test dependent observations |
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