Local efficiency of integrated goodness-of-fit tests under skew alternatives

A. Durio and Yakov Nikitin

Statistics & Probability Letters, 2016, vol. 117, issue C, 136-143

Abstract: The efficiency of distribution-free integrated goodness-of-fit tests was studied by Henze and Nikitin (2000, 2002) under location alternatives. We calculate local Bahadur efficiencies of these tests under more realistic generalized skew alternatives. They turn out to be unexpectedly high.

Keywords: Integrated empirical process; Bahadur efficiency; Skew alternative (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2016.05.016

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