Comparison of tests in the multiparameter case II. A third-order optimality property of Rao's test

Rahul Mukerjee

Journal of Multivariate Analysis, 1990, vol. 33, issue 1, 31-48

Abstract: In a general multiparameter setup, this paper proves an optimality property of Rao's test, in terms of maximization of "average" third-order power under contiguous alternatives, within a very wide class of tests that includes the likelihood ratio and Wald's tests. The use of a new kind of polynomials, analogous to Hermite polynomials, is helpful in the derivation of the results.

Keywords: contiguous; alternatives; local; unbiasedness; Rao's; test (search for similar items in EconPapers)
Date: 1990
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