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Pivotal quantities based on the conditional distribution function transform in models with accessory parameters. (English) Zbl 0609.62033
A general formula for producing pivotal quantities defined free of accessory parameters is investigated. In addition to similarity, resulting tests often have exact or asymptotic optimal properties. In other cases, the sample correlation with statistics sufficient for the accessory parameters produce a simple similar test and a consistent, asymptotically normal estimator. The latter method should perform best when the accessories are highly dispersed.
MSC:
62F03 Parametric hypothesis testing
62F05 Asymptotic properties of parametric tests
62H15 Hypothesis testing in multivariate analysis
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