Comparison of LR, Score, and Wald Tests in a Non-IID Setting
AbstractConsidering a large class of tests, we study higher order power in a possibly non-iid set-up. Optimum properties for the likelihood ratio and score tests are exhibited under the criteria of second-order local maximinity and third-order local average power, respectively. The issue of stringency with regard to third-order average power has been addressed. We also compare the power properties of various Bartlett-type adjustments for the tests.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Multivariate Analysis.
Volume (Year): 60 (1997)
Issue (Month): 1 (January)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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- Artur Lemonte & Silvia Ferrari, 2012. "The local power of the gradient test," Annals of the Institute of Statistical Mathematics, Springer, vol. 64(2), pages 373-381, April.
- Kakizawa, Yoshihide, 2010. "Comparison of Bartlett-type adjusted tests in the multiparameter case," Journal of Multivariate Analysis, Elsevier, vol. 101(7), pages 1638-1655, August.
- Kakizawa, Yoshihide, 2009. "Third-order power comparisons for a class of tests for multivariate linear hypothesis under general distributions," Journal of Multivariate Analysis, Elsevier, vol. 100(3), pages 473-496, March.
- Kakizawa, Yoshihide, 2012. "Generalized Cordeiro–Ferrari Bartlett-type adjustment," Statistics & Probability Letters, Elsevier, vol. 82(11), pages 2008-2016.
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