The Bahadur efficiency of the usual score test and Neyman's C(α) test is studied. Both the approximate and exact slopes of the usual score test are obtained and it is shown that locally they both coincide with the optimal slope. The approximate slope of Neyman's C(α) test is also obtained and it is shown to coincide locally with the optimal slope when the alternative approaches the null in a certain way. Some examples are discussed.
All Science Journal Classification (ASJC) codes
- Statistics and Probability
- Statistics, Probability and Uncertainty
- Applied Mathematics