Comparison of LR, Score, and Wald Tests in a Non-IID Setting

Radhakrishna Rao, C. ; Mukerjee, Rahul (1997) Comparison of LR, Score, and Wald Tests in a Non-IID Setting Journal of Multivariate Analysis, 60 (1). pp. 99-110. ISSN 0047-259X

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Official URL: http://linkinghub.elsevier.com/retrieve/pii/S00472...

Related URL: http://dx.doi.org/10.1006/jmva.1996.1645

Abstract

Considering a large class of tests, we study higher order power in a possibly non-iid set-up. Optimum properties for the likelihood ratio and score tests are exhibited under the criteria of second-order local maximinity and third-order local average power, respectively. The issue of stringency with regard to third-order average power has been addressed. We also compare the power properties of various Bartlett-type adjustments for the tests.

Item Type:Article
Source:Copyright of this article belongs to Elsevier Science.
Keywords:Average Power; Bartlett-type Adjustment; Contiguous Alternatives; Likelihood Ratio Test; Local Maximinity; Rao's Score Test; Stringency; Wald's Test
ID Code:42464
Deposited On:02 Jun 2011 14:35
Last Modified:02 Jun 2011 14:35

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