Abstract
We introduce a family of Rényi statistics of orders r ∈ R for testing composite hypotheses in general exponential models, as alternatives to the previously considered generalized likelihood ratio (GLR) statistic and generalized Wald statistic. If appropriately normalized exponential models converge in a specific sense when the sample size (observation window) tends to infinity, and if the hypothesis is regular, then these statistics are shown to be χ2-distributed under the hypothesis. The corresponding Rényi tests are shown to be consistent. The exact sizes and powers of asymptotically α-size Rényi, GLR and generalized Wald tests are evaluated for a concrete hypothesis about a bivariate Lévy process and moderate observation windows. In this concrete situation the exact sizes of the Rényi test of the order r = 2 practically coincide with those of the GLR and generalized Wald tests but the exact powers of the Rényi test are on average somewhat better.
We thank two referees for their critical comments and helpful suggestions leading to a substantially rewritten revised version. This paper was supported by the grants BMF2003-00892, BMF2003-04820 and GACR 201/02/1391.