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Improved chi-squared tests for a composite hypothesis

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  • Kakizawa, Yoshihide

Abstract

The Bartlett-type adjustment is a higher-order asymptotic method for improving the chi-squared approximation to the null distributions of various test statistics. Though three influential papers were published in 1991—Chandra and Mukerjee (1991) [8], Cordeiro and Ferrari (1991) [12] and Taniguchi (1991) [36] in alphabetical order, the only CF-approach has been frequently applied in the literature during the last two decades, provided that asymptotic expansion for the null distribution of a given test statistic is available. Revisiting the CM/T-approaches developed in the absence of a nuisance parameter, this paper suggests general adjustments for a class of test statistics that includes, in particular, the likelihood ratio, Rao’s and Wald’s test statistics in the presence of a nuisance parameter.

Suggested Citation

  • Kakizawa, Yoshihide, 2012. "Improved chi-squared tests for a composite hypothesis," Journal of Multivariate Analysis, Elsevier, vol. 107(C), pages 141-161.
  • Handle: RePEc:eee:jmvana:v:107:y:2012:i:c:p:141-161 DOI: 10.1016/j.jmva.2012.01.008
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    References listed on IDEAS

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    1. Kakizawa, Yoshihide & Iwashita, Toshiya, 2008. "A comparison of higher-order local powers of a class of one-way MANOVA tests under general distributions," Journal of Multivariate Analysis, Elsevier, vol. 99(6), pages 1128-1153, July.
    2. Li, Xiao & Wu, Yaohua & Tu, Dongsheng, 2008. "A Bartlett type correction for Wald test in Cox regression model," Statistics & Probability Letters, Elsevier, vol. 78(16), pages 2614-2622, November.
    3. Taniguchi, Masanobu, 1988. "Asymptotic expansions of the distributions of some test statistics for Gaussian ARMA processes," Journal of Multivariate Analysis, Elsevier, vol. 27(2), pages 494-511, November.
    4. Kakizawa, Yoshihide, 2011. "Improved additive adjustments for the LR/ELR test statistics," Statistics & Probability Letters, Elsevier, vol. 81(8), pages 1245-1255, August.
    5. Audrey Cysneiros & Katya Rodrigues & Gauss Cordeiro & Silvia Ferrari, 2010. "Three Bartlett-type corrections for score statistics in symmetric nonlinear regression models," Statistical Papers, Springer, vol. 51(2), pages 273-284, June.
    6. 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.
    7. Taniguchi, Masanobu, 1991. "Third-order asymptomic properties of a class of test statistics under a local alternative," Journal of Multivariate Analysis, Elsevier, vol. 37(2), pages 223-238, May.
    8. Gauss M. Cordeiro & Denise A. Botter & Lúcia P. Barroso & Silvia L. P. Ferrari, 2003. "Three Corrected Score Tests for Generalized Linear Models with Dispersion Covariates," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 57(4), pages 391-409.
    9. Takesi Hayakawa, 1977. "The likelihood ratio criterion and the asymptotic expansion of its distribution," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 29(1), pages 359-378, December.
    10. Magdalinos, Michael A., 1992. "Stochastic Expansions and Asymptotic Approximations," Econometric Theory, Cambridge University Press, vol. 8(03), pages 343-367, September.
    11. Cordeiro, Gauss M. & Colosimo, Enrico A., 1999. "Corrected score tests for exponential censored data," Statistics & Probability Letters, Elsevier, vol. 44(4), pages 365-373, October.
    12. 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.
    13. Chandra, Tapas K. & Mukerjee, Rahul, 1991. "Bartlett-type modification for Rao's efficient score statistic," Journal of Multivariate Analysis, Elsevier, vol. 36(1), pages 103-112, January.
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    Citations

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    Cited by:

    1. Kakizawa, Yoshihide, 2016. "Some integrals involving multivariate Hermite polynomials: Application to evaluating higher-order local powers," Statistics & Probability Letters, Elsevier, vol. 110(C), pages 162-168.
    2. Kakizawa, Yoshihide, 2015. "Third-order local power properties of tests for a composite hypothesis, II," Journal of Multivariate Analysis, Elsevier, vol. 140(C), pages 99-112.
    3. Kakizawa, Yoshihide, 2017. "Third-order average local powers of Bartlett-type adjusted tests: Ordinary versus adjusted profile likelihood," Journal of Multivariate Analysis, Elsevier, vol. 153(C), pages 98-120.
    4. Kakizawa, Yoshihide, 2012. "Generalized Cordeiro–Ferrari Bartlett-type adjustment," Statistics & Probability Letters, Elsevier, vol. 82(11), pages 2008-2016.
    5. Kakizawa, Yoshihide, 2013. "Third-order local power properties of tests for a composite hypothesis," Journal of Multivariate Analysis, Elsevier, vol. 114(C), pages 303-317.

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