Intermediate efficiency of tests under heavy-tailed alternatives

02/18/2019

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by   Tadeusz Inglot, et al.

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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.