Towards data driven selection of a penalty function for data driven Neyman tests

  title={Towards data driven selection of a penalty function for data driven Neyman tests},
  author={Tadeusz Inglot and Teresa Ledwina},
The data driven Neyman statistic consists of two elements: a score statistic in a finite dimensional submodel and a selection rule to determine the best fitted submodel. For instance, Schwarz BIC and Akaike AIC rules are often applied in such constructions. For moderate sample sizes AIC is sensitive in detecting complex models, while BIC works well for relatively simple structures. When the sample size is moderate, the choice of selection rule for determining a best fitted model from a number… CONTINUE READING


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