Bayes Risk for the Test of Location-The Infinite Dimensional Case.
Abstract
Let X(1), X(2) be independent normal with mean vector theta and covariance matrix I. Let the null hypothesis be normal with zero mean and covariance matrix sigma. Quadratic loss (theta primed A theta) and constant loss are considered. Rubin and Sethuraman obtained asymptotic results for the above test in the case of a finite dimensional parameter space. New asymptotic results have been obtained for the case in which the parameter space is infinite dimensional. This development is motivated by the need to extend the Bayes Risk Efficiency analysis to time series problems and to problems in which the alternative hypothesis is a function space. (Author)
Document Details
- Document Type
- Technical Report
- Publication Date
- Jun 01, 1972
- Accession Number
- AD0744965
Entities
People
- Philip Cohen
Organizations
- Purdue University