A Complete Class Theorem for Strict Monotone Likelihood Ratio With Applications

Lawrence D. Brown, Arthur Cohen, William E. Strawderman

Type: Article

Publication Date: 1976-07-01

Citations: 49

DOI: https://doi.org/10.1214/aos/1176343543

Abstract

Suppose a random variable has a density belonging to a one parameter family which has strict monotone likelihood ratio. For inference regarding the parameter (or a monotone function of the parameter) consider the loss function to be bowl shaped for each fixed parameter and also to have each action be a "point of increase" or a "point of decrease" for some value of the parameter. Under these conditions, given any nonmonotone decision procedure, a unique monotone procedure is constructed which is strictly better than the given procedure for all the above loss functions. This result has application to the following areas: combining data problems, sufficiency, a multivariate one-sided testing problem.

Locations

The Annals of Statistics - View - PDF
ScholarlyCommons (University of Pennsylvania) - View - PDF

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