An asymptotic derivation of Neyman's \(C(\alpha)\) test (Q1110943)

An idea of \textit{D. M. Chibisov} [Sankhyā, Ser. A 31, 241-258 (1969; Zbl 0183.483)] for obtaining asymptotically optimal tests by solving a corresponding testing problem associated with the limiting Gaussian process is explored in the case of nuisance Euclidean parameters. It is shown that \textit{J. Neyman}'s [Probability and Statistics, The Harald Cramér Vol., 213-234 (1959; Zbl 0104.126)] C(\(\alpha)\) test corresponds to the conditional test for the exponential family of the limiting Gaussian process. This sheds new insight into the nature of Neyman's projected scores. In addition the methodology helps suggest a one-step estimation procedure with nuisance Eucledian parameters.