A Repeated Significance Test for Distributions with Heavy Tails

DOI10.1081/SQA-200046834zbMath1061.62120MaRDI QIDQ4678863

Joseph Glaz, Vladimir Pozdnyakov

Publication date: 23 May 2005

Published in: Sequential Analysis (Search for Journal in Brave)

zbMATH Keywords

invariance principleexpected sample sizeparabolic PDEsignificance levelpartial sums of truncated observationspower function for a repeated significance test

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Statistics of extreme values; tail inference (62G32) Sequential statistical analysis (62L10)

Related Items (2)

A nonparametric repeated significance test with adaptive target sample size ⋮ Group sequential tests: beyond exponential family models

Cites Work

• Sequential analysis. Tests and confidence intervals
• Repeated significance tests for exponential families
• Large deviations for boundary crossing probabilities
• A nonlinear renewal theory with applications to sequential analysis. I
• A nonlinear renewal theory with applications to sequential analysis II
• A note on functional CLT for truncated sums.
• Estimating the heavy tail index from scaling properties
• Sequential analysis of the proportional hazards model
• An optimal property of the repeated significance test
• Repeated likelihood ratio tests
• Crossing probabilities for a square root boundary by a bessel process
• Approximations for non-symmetric truncated sequential and repeated significance tests
• Repeated likelihood ratio tests for curved exponential families
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