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

✍ Scribed by C.Radhakrishna Rao; Rahul Mukerjee

• Book ID: 102974317
• Publisher: Elsevier Science
• Year: 1997
• Tongue: English
• Weight: 931 KB
• Volume: 60
• Category: Article
• ISSN: 0047-259X
• DOI: 10.1006/jmva.1996.1645

✦ Synopsis

Considering a large class of tests, we study higher order power in a possibly noniid 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.