Minimax tests for convex cones |
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Authors: | Lutz Dümbgen |
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Institution: | (1) Institut für Angewandte Mathematik, Universität Heidelberg, Im Neuenheimer Feld 294, D-69120 Heidelberg, Germany |
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Abstract: | Let (P
: R
p
) be a simple shift family of distributions onR
p
, and letK R
p
be a convex cone. Within the class of nonrandomized tests ofK versusR
p
K, whose acceptance regionA satisfiesA=A+K, a test with minimal bias is constructed. This minimax test is compared to a likelihood ratio type test, which is optimal with respect to a different criterion. The minimax test is mimicked in the context of linear regression and one-sided tests for covariance matrices. |
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Keywords: | Bias convex cone covariance matrix duality linear regression minimax test union-intersection principle |
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