Von Mises Approximation of the Critical Value of a Test

• Autores: Alfonso García Pérez
• Localización: Test: An Official Journal of the Spanish Society of Statistics and Operations Research, ISSN-e 1863-8260, ISSN 1133-0686, Vol. 12, Nº. 2, 2003, págs. 385-411
• Idioma: inglés
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• Resumen

  • In this paper we propose a von Mises approximation of the critical value of a test and a saddlepoint approximation of it. They are specially useful to compute quantiles of complicated test statistics with a complicated distribution function, which is a very common situation in robustness studies. We also obtain the influence function of the critical value as an alternative way to analyse the robustness of a test