Limiting values of large deviation probabilities of quadratic statistics


Jeurnink, G.A.M. and Kallenberg, W.C.M. (1990) Limiting values of large deviation probabilities of quadratic statistics. Journal of Multivariate Analysis, 35 (2). pp. 168-185. ISSN 0047-259X

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Abstract:Application of exact Bahadur efficiencies in testing theory or exact inaccuracy rates in estimation theory needs evaluation of large deviation probabilities. Because of the complexity of the expressions, frequently a local limit of the nonlocal measure is considered. Local limits of large deviation probabilities of general quadratic statistics are obtained by relating them to large deviation probabilities of sums of k-dimensional random vectors. The results are applied, e.g., to generalized Cramér-von Mises statistics, including the Anderson-Darling statistic, Neyman's smooth tests, and likelihood ratio tests.
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Copyright:© 1990 Elsevier
Electrical Engineering, Mathematics and Computer Science (EEMCS)
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