The efficiency of distribution-free integrated goodness-of-fit tests was studied by Henze and Nikitin (2000, 2002) under location alternatives. We calculate local Bahadur efficiencies of these tests under more realistic generalized skew alternatives. They turn out to be unexpectedly high.
Local efficiency of integrated goodness-of-fit tests under skew alternatives
DURIO, Alessandra;
2016-01-01
Abstract
The efficiency of distribution-free integrated goodness-of-fit tests was studied by Henze and Nikitin (2000, 2002) under location alternatives. We calculate local Bahadur efficiencies of these tests under more realistic generalized skew alternatives. They turn out to be unexpectedly high.
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