Local power and size properties of the LR, Wald, score and gradient tests in dispersion models
| Contribuinte(s) |
UNIVERSIDADE DE SÃO PAULO |
|---|---|
| Data(s) |
12/09/2013
12/09/2013
2012
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| Resumo |
We derive asymptotic expansions for the nonnull distribution functions of the likelihood ratio, Wald, score and gradient test statistics in the class of dispersion models, under a sequence of Pitman alternatives. The asymptotic distributions of these statistics are obtained for testing a subset of regression parameters and for testing the precision parameter. Based on these nonnull asymptotic expansions, the power of all four tests, which are equivalent to first order, are compared. Furthermore, in order to compare the finite-sample performance of these tests in this class of models, Monte Carlo simulations are presented. An empirical application to a real data set is considered for illustrative purposes. (C) 2012 Elsevier B.V. All rights reserved. FAPESP FAPESP CNPq CNPq |
| Identificador |
STATISTICAL METHODOLOGY, AMSTERDAM, v. 9, n. 5, pp. 537-554, SEP, 2012 1572-3127 http://www.producao.usp.br/handle/BDPI/33307 10.1016/j.stamet.2012.03.001 |
| Idioma(s) |
eng |
| Publicador |
ELSEVIER SCIENCE BV AMSTERDAM |
| Relação |
STATISTICAL METHODOLOGY |
| Direitos |
closedAccess Copyright ELSEVIER SCIENCE BV |
| Palavras-Chave | #ASYMPTOTIC EXPANSIONS #CHI-SQUARE DISTRIBUTION #DISPERSION MODELS #GRADIENT TEST #LIKELIHOOD RATIO TEST #LOCAL POWER #SCORE TEST #WALD TEST #MAXIMUM-LIKELIHOOD ESTIMATORS #REGRESSION-MODELS #FAMILY #DISTRIBUIÇÃO QUI-QUADRADO #EXPANSÃO ASSINTÓTICA #ESTATÍSTICA #STATISTICS & PROBABILITY |
| Tipo |
article original article publishedVersion |
