Contiguity of Probability Measures

Summary The notion of contiguity of probability measures is a very useful one, providing a generally applicable method of calculating the asymptotic power of a sequence of tests and thus a means of comparing competing tests. This paper attempts to give an account of the basic results of contiguity theory which is self‐contained and accessible to statisticians to whom the theory is of use. In addition, the relationship between contiguity and mutual contiguity is explored.