✦ LIBER ✦

On large deviation theorem for data-driven Neyman's statistic

✍ Scribed by Tadeusz Inglot

Publisher: Elsevier Science
Year: 2000
Tongue: English
Weight: 111 KB
Volume: 47
Category: Article
ISSN: 0167-7152
DOI: 10.1016/s0167-7152(99)00187-x

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✦ Synopsis

The aim of the paper is to show that for data-driven Neyman's statistic large deviation theorem does not hold. We derive an explicit estimate from below for probabilities of large and moderate deviations. The main tool is a version of a lower exponential inequality recently obtained by Mogulskii.