A statistical test based on an invariant statistic. Let be a sampling space and suppose that the hypothesis : is tested against the alternative : , where the hypothesis is invariant under the group of one-to-one -measurable transformations of the space onto itself, that is,
where is the element of the group of one-to-one transformations of the probability measures : , defined for all and according to the formula , . Since is invariant under , in testing it is natural to use a test based on an invariant statistic with respect to this same group . Such a test is called an invariant test, and the class of all invariant tests is the same as the class of tests based on a maximal invariant. In the theory of invariant tests, the Hunt–Stein theorem plays an important role: If the hypothesis is invariant under the group , then there exists a maximin test in the class of invariant tests for testing . An invariant test is a special case of an invariant statistical procedure (see Invariance of a statistical procedure).
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Invariant test. M.S. Nikulin (originator), Encyclopedia of Mathematics. URL: http://www.encyclopediaofmath.org/index.php?title=Invariant_test&oldid=14858