Local asympotic efficiency of some goodness-of-fit tests under skew alternatives

Alessandra Durio and Yakov Nikitin

ICER Working Papers from ICER - International Centre for Economic Research

Abstract: The efficiency of most known distribution-free goodness-of-fitt tests such as Kolmogorov - Smirnov, Cramér - von Mises and their numerous variants was studied mainly under the classical alternatives of location and scale. However it is interesting to compare the efficiencies of these tests under asymmetric alternatives among which the most popular is the so-called skew alternative proposed by Azzalini (1985) in the case of the normal distribution. We find and compare local Bahadur efficiencies of many known statistics for skew alternatives and discuss also the conditions of their local optimality.

Keywords: Bahadur efficiency; skew alternative; local index; Kullback-Leibler information; local asymptotic optimality; arcsine density (search for similar items in EconPapers)
Pages: 18 pages
Date: 2001-03
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:icr:wpicer:04-2001

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