Multiscale Testing of Qualitative Hypotheses
Lutz Dümbgen, Vladimir G. Spokoiny
The Annals of Statistics · 2001 · Volume 29 · Issue 1
Abstract
Suppose that one observes a process Y on the unit interval, where dY(t) =n1/2 f(t)dt +dW (t) with an unknown function parameter f, given scale parameter n <=1 ("sample size") and standard Brownian motion W. We propose two classes of tests of qualitative nonparametric hypotheses about f such as monotonicity or concavity. These tests are asymptotically optimal and adaptive in a certain sense. They are constructed via a new class of multiscale statistics and an extension of Lévy's modulus of continuity of Brownian motion.
Keywords
62G10, 62G20, Adaptivity, concavity, Lévy's modulus of continuity, Monotonicity, multiple test, nonparametric, positivity
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