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An Efficiency Robust Nonparametric Test for Scale Change for Data From a Gamma Distribution

 

作者: JosephL. Gastwirth,   Hosam Mahmoud,  

 

期刊: Technometrics  (Taylor Available online 1986)
卷期: Volume 28, issue 1  

页码: 81-84

 

ISSN:0040-1706

 

年代: 1986

 

DOI:10.1080/00401706.1986.10488101

 

出版商: Taylor & Francis Group

 

关键词: Rank tests;Scale parameter;Efficiency robustness;Increasing hazard rate

 

数据来源: Taylor

 

摘要:

When testing whether two samples came from a common distribution against the alternative that they differ in scale, the asymptotically most powerful rank test depends on the density function underlying the data. In some applications it is only known that the data are from a gamma distribution with increasing hazard rate (i.e., the value of the shape parameter,k, is known to be ≥ 1). If the optimum test (Savage 1956) for data from an exponential law (k= 1) is used when the true value ofkis much larger, a loss of power or asymptotic relative efliciency results. Indeed, the ARE of the exponential scores test relative to the optimum rank test for largek(∞) is about 81.4%. This article presents the maximin efficiency robust test for the gamma (k≥ 1) family that has an asymptotic efficiency of at least 95% relative to the optimum test for each member of the family. The test can be calculated using standard statistical packages and is illustrated on real data.

 

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