The local power of the gradient test
Abstract
The asymptotic expansion of the distribution of the gradient test statistic is derived for a composite hypothesis under a sequence of Pitman alternative hypotheses converging to the null hypothesis at rate $n^{1/2}$, $n$ being the sample size. Comparisons of the local powers of the gradient, likelihood ratio, Wald and score tests reveal no uniform superiority property. The power performance of all four criteria in oneparameter exponential family is examined.
 Publication:

arXiv eprints
 Pub Date:
 April 2010
 arXiv:
 arXiv:1004.5543
 Bibcode:
 2010arXiv1004.5543L
 Keywords:

 Mathematics  Statistics Theory
 EPrint:
 To appear in the Annals of the Institute of Statistical Mathematics, this http://www.ism.ac.jp/editsec/aisme.html