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Comparison of LR, Score, and Wald Tests in a Non-IID Setting

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  • Rao, C. Radhakrishna
  • Mukerjee, Rahul
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    Abstract

    Considering 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 Info

    Article provided by Elsevier in its journal Journal of Multivariate Analysis.

    Volume (Year): 60 (1997)
    Issue (Month): 1 (January)
    Pages: 99-110

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    Handle: RePEc:eee:jmvana:v:60:y:1997:i:1:p:99-110

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    Related research

    Keywords: average power Bartlett-type adjustment contiguous alternatives likelihood ratio test local maximinity Rao's score test stringency Wald's test;

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    Cited by:
    1. 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.
    2. 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.
    3. 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.
    4. Kakizawa, Yoshihide, 2012. "Generalized Cordeiro–Ferrari Bartlett-type adjustment," Statistics & Probability Letters, Elsevier, vol. 82(11), pages 2008-2016.

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