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Von mises approximation of the critical value of a test

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Abstract

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.

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Authors and Affiliations

  1. Departamento de Estadística, Investigación Operativa y Cálculo Numérico, Universidad Nacional de Educación a Distancia, Paseo Senda del Rey 9, 28040, Madrid, Spain

    Alfonso García-Pérez

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  1. Alfonso García-Pérez
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Correspondence to Alfonso García-Pérez.

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García-Pérez, A. Von mises approximation of the critical value of a test. Test 12, 385–411 (2003). https://doi.org/10.1007/BF02595721

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  • DOI: https://doi.org/10.1007/BF02595721

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