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JOURNALS // Vestnik TVGU. Seriya: Prikladnaya Matematika [Herald of Tver State University. Series: Applied Mathematics] // Archive

Vestnik TVGU. Ser. Prikl. Matem. [Herald of Tver State University. Ser. Appl. Math.], 2008, Issue 8, Pages 5–23 (Mi vtpmk361)

This article is cited in 3 papers

PROBABLY-POSSIBLE MODELS AND METHODS

About the power of asymptotically optimal test in the case of Laplace distribution

R. A. Korolev, A. V. Testova, V. E. Bening

Lomonosov Moscow State University, Faculty of Computational Mathematics and Cybernetics

Abstract: In the present paper we heuristically obtain a formula (see (3.1)) for the limit of the difference between the power of the asymptotically optimal test and the power of the asymptotically most powerful (AMP) test for the case of Laplace distribution. This difference has the order $n^{-1/2}$ due to the nonregularity of the Laplace distribution, in contrast to regular laws for which this order equals $n^{-1}$.

Keywords: Laplace or double exponential distribution, power function, deficiency, asymptotic expansion.

UDC: 519.2

Received: 20.12.2007
Revised: 05.02.2008



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