Local efficiency of integrated goodness-of-fit tests under skew alternatives

DOI10.1016/J.SPL.2016.05.016zbMATH Open1345.62075arXiv1605.07385OpenAlexW2963066048MaRDI QIDQ310656FDOQ310656

A. Durio, Ya. Yu. Nikitin

Publication date: 8 September 2016

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Abstract: The efficiency of distribution-free {it integrated} goodness-of-fit tests was studied by Henze and Nikitin (2000, 2002) under location alternatives. We calculate local Bahadur efficiencies of these tests under more realistic generalized skew alternatives. They turn out to be unexpectedly high.

Full work available at URL: https://arxiv.org/abs/1605.07385

zbMATH Keywords

Bahadur efficiencyintegrated empirical processskew alternative

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Order statistics; empirical distribution functions (62G30)

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Cited In (6)

• Local exact Bahadur efficiencies of two scale-free tests of normality based on a recent characterization
• Asymptotic efficiency of new distribution-free tests of symmetry for generalized skew alternatives
• Strong approximations for the \(p\)-fold integrated empirical process with applications to statistical tests
• Local Bahadur efficiency of some goodness-of-fit tests under skew alternatives.
• Toward the history of the St. Petersburg school of probability and statistics. IV: Characterization of distributions and limit theorems in statistics
• Locally optimal test of normality against skew-normality

Uses Software

• sn

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