Sensitivity of Rao's score test, the Wald test and the likelihood ratio test to nuisance parameters

Bing Li

doi:10.1016/S0378-3758(00)00345-1

Sensitivity of Rao's score test, the Wald test and the likelihood ratio test to nuisance parameters

Bing Li

Statistics

Research output: Contribution to journal › Article › peer-review

9 Scopus citations

Abstract

The purpose of this paper is to compare the sensitivity of the likelihood ratio test, Rao's score test, and the Wald test to the change of the nuisance parameters. The main result is that, with an error of magnitude O(n^-1), the null distributions and the local alternative distributions of these tests are equally sensitive to nuisance parameter. We will also give accurate factorizations of these test statistics as quadratic forms, which are themselves useful for asymptotic analyses.

Original language	English (US)
Pages (from-to)	57-66
Number of pages	10
Journal	Journal of Statistical Planning and Inference
Volume	97
Issue number	1
DOIs	https://doi.org/10.1016/S0378-3758(00)00345-1
State	Published - Aug 1 2001

All Science Journal Classification (ASJC) codes

Statistics and Probability
Statistics, Probability and Uncertainty
Applied Mathematics

Access to Document

10.1016/S0378-3758(00)00345-1

Cite this

@article{ee77ce69e41d437da8333edbe8611c54,

title = "Sensitivity of Rao's score test, the Wald test and the likelihood ratio test to nuisance parameters",

abstract = "The purpose of this paper is to compare the sensitivity of the likelihood ratio test, Rao's score test, and the Wald test to the change of the nuisance parameters. The main result is that, with an error of magnitude O(n-1), the null distributions and the local alternative distributions of these tests are equally sensitive to nuisance parameter. We will also give accurate factorizations of these test statistics as quadratic forms, which are themselves useful for asymptotic analyses.",

author = "Bing Li",

year = "2001",

month = aug,

day = "1",

doi = "10.1016/S0378-3758(00)00345-1",

language = "English (US)",

volume = "97",

pages = "57--66",

journal = "Journal of Statistical Planning and Inference",

issn = "0378-3758",

publisher = "Elsevier",

number = "1",

}

TY - JOUR

T1 - Sensitivity of Rao's score test, the Wald test and the likelihood ratio test to nuisance parameters

AU - Li, Bing

PY - 2001/8/1

Y1 - 2001/8/1

N2 - The purpose of this paper is to compare the sensitivity of the likelihood ratio test, Rao's score test, and the Wald test to the change of the nuisance parameters. The main result is that, with an error of magnitude O(n-1), the null distributions and the local alternative distributions of these tests are equally sensitive to nuisance parameter. We will also give accurate factorizations of these test statistics as quadratic forms, which are themselves useful for asymptotic analyses.

AB - The purpose of this paper is to compare the sensitivity of the likelihood ratio test, Rao's score test, and the Wald test to the change of the nuisance parameters. The main result is that, with an error of magnitude O(n-1), the null distributions and the local alternative distributions of these tests are equally sensitive to nuisance parameter. We will also give accurate factorizations of these test statistics as quadratic forms, which are themselves useful for asymptotic analyses.

UR - http://www.scopus.com/inward/record.url?scp=0041591603&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=0041591603&partnerID=8YFLogxK

U2 - 10.1016/S0378-3758(00)00345-1

DO - 10.1016/S0378-3758(00)00345-1

M3 - Article

AN - SCOPUS:0041591603

SN - 0378-3758

VL - 97

SP - 57

EP - 66

JO - Journal of Statistical Planning and Inference

JF - Journal of Statistical Planning and Inference

IS - 1

ER -

Sensitivity of Rao's score test, the Wald test and the likelihood ratio test to nuisance parameters

Abstract

All Science Journal Classification (ASJC) codes

Access to Document

Other files and links

Fingerprint

Cite this