A note on the local power of the LR, Wald, score and gradient tests
Contribuinte(s) |
UNIVERSIDADE DE SÃO PAULO |
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Data(s) |
14/10/2013
14/10/2013
2012
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Resumo |
This paper examines the local power of the likelihood ratio, Wald, score and gradient tests under the presence of a scalar parameter, phi say, that is orthogonal to the remaining parameters. We show that some of the coefficients that define the local powers remain unchanged regardless of whether phi is known or needs to be estimated, where as the others can be written as the sum of two terms, the first of which being the corresponding term obtained as if phi were known, and the second, an additional term yielded by the fact that phi is unknown. The contribution of each set of parameters on the local powers of the tests can then be examined. Various implications of our main result are stated and discussed. Several examples are presented for illustrative purposes FAPESP (Brazil) FAPESP (Brazil) CNPq (Brazil) CNPq (Brazil) |
Identificador |
ELECTRONIC JOURNAL OF STATISTICS, CLEVELAND, v. 6, n. 6, supl. 4, Part 1-2, pp. 421-434, DEC, 2012 1935-7524 http://www.producao.usp.br/handle/BDPI/34495 10.1214/12-EJS678 |
Idioma(s) |
eng |
Publicador |
INST MATHEMATICAL STATISTICS CLEVELAND |
Relação |
ELECTRONIC JOURNAL OF STATISTICS |
Direitos |
openAccess Copyright INST MATHEMATICAL STATISTICS |
Palavras-Chave | #ASYMPTOTIC EXPANSIONS #GRADIENT TEST #LIKELIHOOD RATIO TEST #LOCAL POWER #SCORE TEST #WALD TEST #LIKELIHOOD RATIO CRITERION #ASYMPTOTIC-EXPANSION #LIFE DISTRIBUTIONS #FAMILY #STATISTICS #STATISTICS & PROBABILITY |
Tipo |
article original article publishedVersion |