In the paper, the asymptotic behavior of the power function of the most powerful test in the problem of testing a simple hypothesis against a simple alternative from a homogeneous sample of independent observations is studied under the assumption that the likelihood ratio has a heavy-tailed distribution belonging to the domain of attraction of a stable law.
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*This research is supported by the Russian Scientific Fund, project No. 14–11–00364
Translated from Statisticheskie Metody Otsenivaniya i Proverki Gipotez, Vol. 18, pp. 20–33, 2005
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Bening, V.E., Korolev, V.Y. & Da, U. On a Power of Optimal Test for Asymptotic Distinction of Statistical Hypotheses for Distributions with Heavy Tails*. J Math Sci 205, 18–26 (2015). https://doi.org/10.1007/s10958-015-2225-8
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DOI: https://doi.org/10.1007/s10958-015-2225-8