Intermediate efficiency of tests under heavy-tailed alternatives
classification
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stat.TH
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alternativesefficiencyintermediateintegrablelocalsquaretestcalculated
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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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Intermediate efficiency of some weighted goodness-of-fit statistics
Weighted statistics including a modified Borovkov-Sycheva version show higher intermediate efficiency than Kolmogorov-Smirnov for alternatives allocating moderate probability mass to tails, with analytic comparisons a...
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