Limiting values of large deviation probabilities of quadratic statistics

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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.
Item Type:Article
Copyright:© 1990 Elsevier
Faculty:
Electrical Engineering, Mathematics and Computer Science (EEMCS)
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Link to this item:http://purl.utwente.nl/publications/70633
Official URL:http://dx.doi.org/10.1016/0047-259X(90)90023-B
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