Linear rank statistics for the two-sample problem are considered. Under general conditions on the score function and the distribution of the observations large deviation asymptotics for these statistics under the alternative are obtained. After using the Sanov principle an external problem of minimization of the Kullback-Leibler information is solved by means of the calculus of variations and nonlinear analysis. As an application Hodges-Lehmann and Chernoff efficiencies are evaluated. It is shown that they coincide locally with the Pitman, Bahadur and intermediate efficiencies.

Original languageEnglish
Pages (from-to)309-323
Number of pages15
JournalJournal of Statistical Planning and Inference
Volume29
Issue number3
DOIs
StatePublished - 1 Jan 1991

    Research areas

  • Bahadur efficiency, Chernoff efficiency, comparison density, empirical measure, Hodges-Lehmann efficiency, implicit operator, Kullback-Leibler information, large deviations, Linear rank statistics

    Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty
  • Applied Mathematics

ID: 47771607