Some integrals involving multivariate Hermite polynomials: Application to evaluating higher-order local powers

Yoshihide Kakizawa

Statistics & Probability Letters, 2016, vol. 110, issue C, 162-168

Abstract: We present the formula for a certain integral with respect to multivariate Hermite polynomials. Such integrals are used for deriving higher-order local power functions of asymptotically chi-squared tests. As an example, we provide asymptotic expansion for the local power function of Rao’s score test.

Keywords: Multivariate Hermite polynomial; Asymptotic expansion; Edgeworth expansion (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1016/j.spl.2015.12.014

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