Gradient statistic: higher-order asymptotics and Bartlett-type correction
Statistics Theory
2012-06-12 v1 Statistics Theory
Abstract
We obtain an asymptotic expansion for the null distribution function of thegradient statistic for testing composite null hypotheses in the presence of nuisance parameters. The expansion is derived using a Bayesian route based on the shrinkage argument described in Ghosh and Mukerjee (1991). Using this expansion, we propose a Bartlett-type corrected gradient statistic with chi-square distribution up to an error of order o(n^{-1}) under the null hypothesis. Further, we also use the expansion to modify the percentage points of the large sample reference chi-square distribution. A small Monte Carlo experiment and various examples are presented and discussed.
Cite
@article{arxiv.1206.2206,
title = {Gradient statistic: higher-order asymptotics and Bartlett-type correction},
author = {Tiago M. Vargas and Silvia L. P. Ferrari and Artur J. Lemonte},
journal= {arXiv preprint arXiv:1206.2206},
year = {2012}
}
Comments
Submitted for publication