A loss function approach to model specification testing and its relative efficiency

Annals of Statistics

Volumn 41, Issue 3, 2013, Pages 1166-1203

  Hong, Yongmiao ^a,b   Lee, Yoon Jin ^c  

^a Uris Hall ^*  (United States)

^b XIAMEN UNIVERSITY   (China)

^c INDIANA UNIVERSITY   (United States)

Author keywords

Efficiency; Generalized likelihood ratio test; Kernel; Local alternative; Loss function; Pitman efficiency; Smoothing parameter

Indexed keywords

EID: 84879348121     PISSN: 00905364     EISSN: None     Source Type: Journal    
DOI: 10.1214/13-AOS1099     Document Type: Article

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