The most efficient linear combination of the Sign and the Maesono tests for p-normal distributions

Giuseppe Burgio and Stefano Patrì
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Giuseppe Burgio: Department of Methods and Models for Econimics, Territory and Finance - Sapienza University of Rome - Italy
Stefano Patrì: Department of Methods and Models for Econimics, Territory and Finance - Sapienza University of Rome - Italy

Statistica, 2011, vol. 71, issue 4, 411-420

Abstract: This paper deals with the Pitman most efficient Gr linear combination of the Sign and the Maesono tests for parent distributions belonging to the p-normal family of densities. The most efficient linear combinations G2 and G4 are obtained. It is also shown that G2 (for leptokurtic p-normal distributions) and G4 (for platikurtic p-normal distributions) are much more efficient than Student’s t, with a maximum loss of efficiency of about 3,1% in the near proximity of the normal distribution (p=2).

Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:bot:rivsta:v:71:y:2011:i:4:p:411-420

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