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On the Relationship between Directional and Omnibus Statistical Tests

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  • QIAN H. LI
  • STEPHEN W. LAGAKOS

Abstract

. A common statistical problem involves the testing of a K‐dimensional parameter vector. In both parametric and semiparametric settings, two types of directional tests – linear combination and constrained tests – are frequently used instead of omnibus tests in hopes of achieving greater power for specific alternatives. In this paper, we consider the relationship between these directional tests, as well as their relationship to omnibus tests. Every constrained directional test is shown to be asymptotically equivalent to a specific linear combination test under a sequence of contiguous alternatives and vice versa. Even when the direction of the alternative is known, the constrained test in general will not be optimal unless the objective function used to derive it is efficient. For an arbitrary alternative, insight into the power characteristics of directional tests in comparison to omnibus tests can be gained by a chi‐square partition of the omnibus test.

Suggested Citation

  • Qian H. Li & Stephen W. Lagakos, 2006. "On the Relationship between Directional and Omnibus Statistical Tests," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 33(2), pages 239-246, June.
    • Handle: RePEc:bla:scjsta:v:33:y:2006:i:2:p:239-246
    DOI: 10.1111/j.1467-9469.2005.00489.x
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