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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 1994 Volume 39, Issue 3, Pages 488–512 (Mi tvp3816)

This article is cited in 9 papers

Minimax nonparametric testing of hypotheses on the distribution density

M. S. Ermakov

Saint-Petersburg State University

Abstract: Let $X_1,\dots,X_n$ be independent identically distributed random variables having unknown density $f(x)$ in $L_2(\nu)$. The problem consists in testing the hypothesis $f(x)=p(x)$ against the alternative that $f(x)$ belongs to an ellipsoid in $L_2(\nu)$ from which a sphere with center at the point $p(x)$ is removed. To solve the problem we construct an asymptotically minimax sequence of tests. As an example the case where the ellipsoid is a sphere in a Sobolev space is considered.

Keywords: nonparametric testing of hypotheses, goodness-of-fit test, nonparametric set of alternatives, asymptotically minimax tests, optimal rate of convergence, testing hypotheses about the density of a distribution.

Received: 08.10.1990


 English version:
Theory of Probability and its Applications, 1994, 39:3, 396–416

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