Bahadur efficiency of EDF based normality tests when parameters are estimated

DOI10.1007/S10958-023-06542-7arXiv2106.07437OpenAlexW3167459525MaRDI QIDQ6132525FDOQ6132525

B. Milošević, Ya. Yu. Nikitin, Marko Obradović

Publication date: 14 July 2023

Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Abstract: In this paper some well-known tests based on empirical distribution functions (EDF) with estimated parameters for testing composite normality hypothesis are revisited, and some new results on asymptotic properties are provided. In particular, the approximate Bahadur slopes are obtained -- in the case of close alternatives -- for the EDF-based tests as well as the likelihood ratio test. The local approximate efficiencies are calculated for several close alternatives. The obtained results could serve as a benchmark for evaluation of the quality of recent and future normality tests.

Full work available at URL: https://arxiv.org/abs/2106.07437

Mathematics Subject Classification ID

Nonparametric inference (62Gxx) Parametric inference (62Fxx) Statistical distribution theory (62Exx)

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