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Topic: Where the lines go cross each other . . .
Replies: 5   Last Post: Apr 15, 2014 10:43 AM

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Luis A. Afonso

Posts: 4,758
From: LIsbon (Portugal)
Registered: 2/16/05
Re: Where the lines go cross each other . . .
Posted: Apr 9, 2014 12:19 AM
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Supposing this procedure valid and running the risk to be wrong I´ll try the following interpretation.
Suppose that we are dealing with a Neyman-Pearson N-P scheme:
_______H0: Data is Gumbel (0, 1) against Ha: N(0, 1)
By construction because the chosen bound is simultaneously the Gumbel skewness 5% quantile and the 95% one of the N(0,1) skewness data, alpha=5%, is the chance to reject a true Null, when I observe a test value smaller than the bound. Symmetrically when Ha is true and I get a test value larger than the bound, 5% probability, I reject the Alternative making a Type II error (beta).
I ask, is this true, am I dealing, really, with an N-P test where the Power is 1- beta = 95%? Feedback truly welcomed. . .

Luis A. Afonso

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