Mathematics – Statistics Theory
Scientific paper
2005-07-21
Annals of Statistics 2005, Vol. 33, No. 3, 1109-1137
Mathematics
Statistics Theory
Published at http://dx.doi.org/10.1214/009053605000000039 in the Annals of Statistics (http://www.imstat.org/aos/) by the Inst
Scientific paper
10.1214/009053605000000039
A test of the null hypothesis that a hazard rate is monotone nondecreasing, versus the alternative that it is not, is proposed. Both the test statistic and the means of calibrating it are new. Unlike previous approaches, neither is based on the assumption that the null distribution is exponential. Instead, empirical information is used to effectively identify and eliminate from further consideration parts of the line where the hazard rate is clearly increasing; and to confine subsequent attention only to those parts that remain. This produces a test with greater apparent power, without the excessive conservatism of exponential-based tests. Our approach to calibration borrows from ideas used in certain tests for unimodality of a density, in that a bandwidth is increased until a distribution with the desired properties is obtained. However, the test statistic does not involve any smoothing, and is, in fact, based directly on an assessment of convexity of the distribution function, using the conventional empirical distribution. The test is shown to have optimal power properties in difficult cases, where it is called upon to detect a small departure, in the form of a bump, from monotonicity. More general theoretical properties of the test and its numerical performance are explored.
Hall Peter
Keilegom Ingrid Van
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