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

Yiliang Zhu and Nancy Reid

Statistics & Probability Letters, 1996, vol. 29, issue 3, 213-221

Abstract: 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.

Keywords: Ancillarity; Sufficiency; Nuisance; parameters; Asymptotic; efficiency; Local; asymptotic; normality; Likelihood; ratio; tests (search for similar items in EconPapers)
Date: 1996
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