Third-Order Asymptotic Distributions of Classic Test Statistics for One-Parameter Exponential Family Models

DOI10.1081/STA-200056841zbMath1080.62006OpenAlexW1973577448WikidataQ57496569 ScholiaQ57496569MaRDI QIDQ4681064

Silvia L. P. Ferrari

Publication date: 14 June 2005

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/sta-200056841

zbMATH Keywords

powerlikelihood ratio statisticWald statisticexponential familymodified Wald statistichigher-order asymptoticsRao score statisticnon central chi-squared distribution

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20)

Cites Work

• Third-order asymptotic properties of a class of test statistics under a local alternative
• Improved score tests for one-parameter exponential family models
• The likelihood ratio criterion and the asymptotic expansion of its distribution
• Higher order asymptotics for the likelihood ratio, Rao's and Wald's tests
• Comparison of LR, score, and Wald tests in a non-iid setting
• Approximation Theorems of Mathematical Statistics
• An asymptotic expansion for the null distribution of the efficient score statistic
• The local power of the efficient scores test statistic
• Corrected wald test statistics for one-parameter exponential family models
• Bartlett corrections for one-parameter exponential family models
• Linear Statistical Inference and its Applications

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