Date of this Version
The Annals of Statistics
Suppose a random variable has a density belonging to a one parameter family which has strict monotone likelihood ratio. For inference regarding the parameter (or a monotone function of the parameter) consider the loss function to be bowl shaped for each fixed parameter and also to have each action be a "point of increase" or a "point of decrease" for some value of the parameter. Under these conditions, given any nonmonotone decision procedure, a unique monotone procedure is constructed which is strictly better than the given procedure for all the above loss functions. This result has application to the following areas: combining data problems, sufficiency, a multivariate one-sided testing problem.
monotone likelihood ratio, complete class, monotone procedure, sufficiency, testing, estimation, confidence sets, combined tests, combined estimators
Brown, L. D., Cohen, A., & Strawderman, W. E. (1976). A Complete Class Theorem for Strict Monotone Likelihood Ratio With Applications. The Annals of Statistics, 4 (4), 712-722. http://dx.doi.org/10.1214/aos/1176343543
Date Posted: 27 November 2017
This document has been peer reviewed.