Efficient likelihood ratio tests under P-ancillarity and P-sufficiency

A local power bound is obtained for asymptotic level-[alpha] tests in the presence of infinitely many nuisance parameters. Likelihood ratio tests, conditioning on P-ancillary statistics or based on marginal P-sufficient statistics, attain this power bound, and are thus locally most powerful similar. The efficiency of the marginal likelihood ratio tests based on conditional P-sufficient statistics is also discussed.

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Year of publication:	1996
Authors:	Zhu, Yiliang ; Reid, Nancy
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 29.1996, 3, p. 213-221
Publisher:	Elsevier
Keywords:	Ancillarity Sufficiency Nuisance parameters Asymptotic efficiency Local asymptotic normality Likelihood ratio tests

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

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005254762