Least favorability of the uniform distribution for tests of the concavity of a distribution function

11/22/2020

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by   Brendan K. Beare, et al.

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A test of the concavity of a distribution function with support contained in the unit interval may be based on a statistic constructed from the L^p-norm of the difference between an empirical distribution function and its least concave majorant. It is shown here that the uniform distribution is least favorable for such a test, in the sense that the limiting distribution of the statistic obtained under uniformity stochastically dominates the limiting distribution obtained under any other concave distribution function.