Comparison of tests in the multiparameter case II. A third-order optimality property of Rao's test

In a general multiparameter setup, this paper proves an optimality property of Rao's test, in terms of maximization of "average" third-order power under contiguous alternatives, within a very wide class of tests that includes the likelihood ratio and Wald's tests. The use of a new kind of polynomials, analogous to Hermite polynomials, is helpful in the derivation of the results.

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Year of publication:	1990
Authors:	Mukerjee, Rahul
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 33.1990, 1, p. 31-48
Publisher:	Elsevier
Keywords:	contiguous alternatives local unbiasedness Rao's test

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005006427