Comparison between the locally most powerful unbiased and Rao's tests

Rahul Mukerjee and Tapas K. Chandra

Journal of Multivariate Analysis, 1987, vol. 22, issue 1, 94-105

Abstract: Consider the problem of testing a simple hypothesis that [theta] = 0 against the alternative that [theta] [not equal to] 0. This paper makes an asymptotic comparison (up to o(n-1)) between Rao's test and the locally most powerful unbiased (LMPU) test under contiguous alternatives, [delta]n-1/2, both test having the same size [alpha] (up to o(n-1)). It is proved that for each [delta] and [alpha], the LMPU test is locally more powerful than the locally unbiased version of Rao's test. However, it also follows from the derivation that Rao's test, which is much simpler than the LMPU test, is almost as good as the latter in terms of power when the test size is small.

Keywords: power; contiguous; alternatives; local; unbiasedness; Rao's; test; locally; most; powerful; unbiased; test; deficiency; Efron's; curvature (search for similar items in EconPapers)
Date: 1987
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/0047-259X(87)90078-9
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:22:y:1987:i:1:p:94-105

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Journal of Multivariate Analysis is currently edited by de Leeuw, J.

More articles in Journal of Multivariate Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().