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

Research output: Contribution to journalArticlepeer-review

8 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 languageEnglish (US)
Pages (from-to)57-66
Number of pages10
JournalJournal of Statistical Planning and Inference
Volume97
Issue number1
DOIs
StatePublished - Aug 1 2001

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Statistics, Probability and Uncertainty
  • Applied Mathematics

Fingerprint Dive into the research topics of 'Sensitivity of Rao's score test, the Wald test and the likelihood ratio test to nuisance parameters'. Together they form a unique fingerprint.

Cite this