Third-order asymptotic properties of a class of test statistics under a local alternative
DOI10.1016/0047-259X(91)90081-CzbMATH Open0728.62026MaRDI QIDQ805099FDOQ805099
Authors: Masanobu Taniguchi 
Publication date: 1991
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
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local alternativeslikelihood ratio testmultivariate analysistime series analysisnonlinear regression modelsimple hypothesisBartlett's adjustmentdependent caseGaussian ARMA processhigher-order asymptotics of testsmodified Wald testnonidentically distributed caseRao teststhird-order asymptotic expansionthird-order asymptotically most powerful properties
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05)
Cites Work
- Differential-geometrical methods in statistics
- Third order asymptotic properties of maximum likelihood estimators for Gaussian ARMA processes
- Non-linear time series regression
- Non-linear regression for multiple time-series
- Geometrical theory of higher-order asymptotics of test, interval estimator and conditional inference
- Title not available (Why is that?)
- Asymptotic expansions of the distributions of some test statistics
- Asymptotic expansions of the distributions of some test statistics for Gaussian ARMA processes
- The local power of the efficient scores test statistic
- Asymptotic non-null distributions of the likelihood ratio criteria for covariance matrix under local alternatives
- Validity of Edgeworth expansions of minimum contrast estimators for Gaussian ARMA processes
- Title not available (Why is that?)
Cited In (26)
- Title not available (Why is that?)
- Comparison of Bartlett-type adjustments for the efficient score statistic
- On confidence intervals associated with quasi-likelihood
- Improved chi-squared tests for a composite hypothesis
- Third-order average local powers of Bartlett-type adjusted tests: ordinary \textit{versus} adjusted profile likelihood
- Higher-order asymptotic refinements for score tests in proper dispersion models
- Test statistics arising from quasi likelihood: Bartlett adjustment and higher-order power
- Comparison of Bartlett-type adjusted tests in the multiparameter case
- Third-order power comparisons for a class of tests for multivariate linear hypothesis under general distributions
- Bayesian model selection using test statistics
- An Automatic Formula for the Second-Order Approximation of the Distributions of Test Statistics under Contiguous Alternatives
- Comparison of test statistics via expected lengths of associated confidence intervals
- On improving the robustness and reliability of Rao's score test
- Asymptotic expansions of the distributions of some test statistics in generalized linear models
- Second-order power comparison of tests
- Title not available (Why is that?)
- Second-order powers of a class of tests in the presence of a nuisance parameter
- Some corrections of the score test statistic for Gaussian ARMA models
- Bartlett-type adjustments for empirical discrepancy test statistics
- About Second Order Local Power of the Likelihood Ratio, Wald and Score Statistics in First Order Autoregressive and Moving Average Models
- Third-Order Asymptotic Distributions of Classic Test Statistics for One-Parameter Exponential Family Models
- Third-order local power properties of tests for a composite hypothesis. II
- Generalized Cordeiro-Ferrari Bartlett-type adjustment
- Title not available (Why is that?)
- Bartlett-corrected tests for heteroskedastic linear models
- A formula to improve score test statistics
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