The local power of the gradient test

DOI10.1007/S10463-010-0315-4MaRDI QIDQ421417zbMATH OpenOpenAlexWikidataFDO

Authors Artur J. Lemonte, Silvia L. P. Ferrari

Publication date 23 May 2012

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1004.5543

zbMATH Keywords

power functionWald testlikelihood ratio testasymptotic expansionsscore testchi-square distributionPitman alternative

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15)

Abstract: The asymptotic expansion of the distribution of the gradient test statistic is derived for a composite hypothesis under a sequence of Pitman alternative hypotheses converging to the null hypothesis at rate $n^{-1/2}$, $n$ being the sample size. Comparisons of the local powers of the gradient, likelihood ratio, Wald and score tests reveal no uniform superiority property. The power performance of all four criteria in one-parameter exponential family is examined.

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Cites work

• scientific article; zbMATH DE number 3240629 (Why is no real title available?)
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• scientific article; zbMATH DE number 3052144 (Why is no real title available?)
• APPROXIMATE CONFIDENCE INTERVALS
• APPROXIMATE CONFIDENCE INTERVALS
• Asymptotic expansions of the distributions of some test statistics
• Bias reduction of maximum likelihood estimates
• Comparison of LR, score, and Wald tests in a non-iid setting
• Likelihood ratio and associated test criteria
• Miscellanea. Local power of three classic criteria in generalised linear models with unknown dispersion
• Nonnull asymptotic distributions of three classic criteria in generalised linear models
• Tests of Statistical Hypotheses Concerning Several Parameters When the Number of Observations is Large
• The Large-Sample Distribution of the Likelihood Ratio for Testing Composite Hypotheses
• The likelihood ratio criterion and the asymptotic expansion of its distribution
• The likelihood ratio criterion for a composite hypothesis under a local alternative
• The local power of the efficient scores test statistic

Cited in

(24)

• Asymptotically refined score and GOF tests for inverse Gaussian models
• Likelihood-based inference in censored exponential regression models
• A gradient-based deletion diagnostic measure for generalized linear mixed models
• Local power properties of some asymptotic tests in symmetric linear regression models
• Improved likelihood inference in generalized linear models
• Likelihood-based tests in zero-inflated power series models
• Local power of some tests in exponential family nonlinear models
• The gradient test and its finite sample size properties in a conditional maximum likelihood and psychometric modeling context
• Gradient statistic: higher-order asymptotics and Bartlett-type correction
• The gradient test. Another likelihood-based test
• Testing the rate ratio under inverse sampling based on gradient statistic
• Improved likelihood-based inference in Birnbaum-Saunders nonlinear regression models
• Second-order powers of a class of tests in the presence of a nuisance parameter
• A note on the local power of the LR, Wald, score and gradient tests
• Nonnull asymptotic distributions of the LR, Wald, score and gradient statistics in generalized linear models with dispersion covariates
• Power analysis for the Wald, LR, score, and gradient tests in a marginal maximum likelihood framework: applications in IRT
• Local power and size properties of the LR, Wald, score and gradient tests in dispersion models
• Inferences on inliers in Rayleigh distribution
• Improved inference in dispersion models
• Small‐sample testing inference in symmetric and log‐symmetric linear regression models
• Calibration of posterior predictive p-values for model checking
• On local power properties of the LR, Wald, score and gradient tests in nonlinear mixed-effects models
• Implicit Alternatives and the Local Power of Test Statistics
• Non null asymptotic distributions of some criteria in censored exponential regression

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