Third-order asymptotic properties of a class of test statistics under a local alternative

DOI10.1016/0047-259X(91)90081-CzbMath0728.62026MaRDI QIDQ805099

Masanobu Taniguchi

Publication date: 1991

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

zbMATH Keywords

likelihood ratio testlocal alternativestime series analysismultivariate 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

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05)

Related Items (24)

About Second Order Local Power of the Likelihood Ratio, Wald and Score Statistics in First Order Autoregressive and Moving Average Models ⋮ A formula to improve score test statistics ⋮ Third-order average local powers of Bartlett-type adjusted tests: ordinary \textit{versus} adjusted profile likelihood ⋮ Comparison of Bartlett-type adjustments for the efficient score statistic ⋮ Improved chi-squared tests for a composite hypothesis ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Some corrections of the score test statistic for Gaussian ARMA models ⋮ Bayesian Model Selection using Test Statistics ⋮ Third-order local power properties of tests for a composite hypothesis. II ⋮ Bartlett-corrected tests for heteroskedastic linear models ⋮ Second-Order Powers of a Class of Tests in the Presence of a Nuisance Parameter ⋮ Second-Order Power Comparison of Tests ⋮ Comparison of Bartlett-type adjusted tests in the multiparameter case ⋮ Asymptotic expansions of the distributions of some test statistics in generalized linear models ⋮ Test statistics arising from quasi likelihood: Bartlett adjustment and higher-order power ⋮ Comparison of test statistics via expected lengths of associated confidence intervals ⋮ On improving the robustness and reliability of Rao's score test ⋮ Higher-order asymptotic refinements for score tests in proper dispersion models ⋮ Generalized Cordeiro-Ferrari Bartlett-type adjustment ⋮ Third-Order Asymptotic Distributions of Classic Test Statistics for One-Parameter Exponential Family Models ⋮ Third-order power comparisons for a class of tests for multivariate linear hypothesis under general distributions ⋮ Bartlett-type adjustments for empirical discrepancy test statistics ⋮ On confidence intervals associated with quasi-likelihood

Cites Work

• Unnamed Item
• Unnamed Item
• Asymptotic expansions of the distributions of some test statistics
• Third order asymptotic properties of maximum likelihood estimators for Gaussian ARMA processes
• Validity of Edgeworth expansions of minimum contrast estimators for Gaussian ARMA processes
• Asymptotic expansions of the distributions of some test statistics for Gaussian ARMA processes
• Differential-geometrical methods in statistics
• Asymptotic non-null distributions of the likelihood ratio criteria for covariance matrix under local alternatives
• Geometrical theory of higher-order asymptotics of test, interval estimator and conditional inference
• The local power of the efficient scores test statistic
• Non-linear time series regression
• Non-linear regression for multiple time-series

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