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Moderate deviations and intermediate efficiency for lack-of-fit tests

Author

Listed:
  • Mason David M.
  • Eubank Randy

    (Arizona State University, Department of Mathematics and Statistics, Tempe, AZ 85287-1804, U.S.A.)

Abstract

We illustrate a new technique for establishing moderate deviation principles for lack-of-fit tests. The method is applied to the problem of comparing two tests using intermediate asymptotic relative efficiency.

Suggested Citation

  • Mason David M. & Eubank Randy, 2012. "Moderate deviations and intermediate efficiency for lack-of-fit tests," Statistics & Risk Modeling, De Gruyter, vol. 29(2), pages 175-187, June.
    • Handle: RePEc:bpj:strimo:v:29:y:2012:i:2:p:175-187:n:3
    DOI: 10.1524/strm.2012.1116
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    References listed on IDEAS

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    1. R. L. Eubank, 2000. "Testing for No Effect by Cosine Series Methods," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 27(4), pages 747-763, December.
    2. Dennis Cox & Eunmee Koh, 1989. "A smoothing spline based test of model adequacy in polynomial regression," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 41(2), pages 383-400, June.
    3. Fan J. & Huang L-S., 2001. "Goodness-of-Fit Tests for Parametric Regression Models," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 640-652, June.
    4. Yurinskii, V. V., 1976. "Exponential inequalities for sums of random vectors," Journal of Multivariate Analysis, Elsevier, vol. 6(4), pages 473-499, December.
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