Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
推导了当干扰参数仅存在于备择假设下时的渐近最优检验，例如结构变化中未知变化点的检验，使用加权平均势准则生成最优检验。
This paper derives asymptotically optimal tests for testing problems in which a nuisance parameter exists under the alternative hypothesis but not under the null. For example, the results apply to tests of structural change with unknown changepoint. The testing problem considered is nonstandard and the classical asymptotic optimality results for the Lagrange multiplier, Wald, and likelihood ratio do not apply. A weighted average power criterion is used here to generate optimal tests. This criterion is similar to that used by A. Wald (1943) to obtain the classical asymptotic optimality properties of Wald tests in 'regular' testing problems. Copyright 1994 by The Econometric Society.