Minimax Character of the $R^2$-Test in the Simplest Case
Minimax Character of the $R^2$-Test in the Simplest Case
In the first nontrivial case, dimension $p = 3$ and sample size $N = 3$ or 4 (depending on whether or not the mean is known), it is proved that the classical level $\alpha$ normal test of independence of the first component from the others, based on the squared sample …