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Moderate deviations and intermediate efficiency for lack-of-fit tests. (English) Zbl 1466.62261

Summary: We illustrate a new technique for establishing moderate deviation principles for lack-of-fit tests. The method is applied to the problem of comparing two tests using intermediate asymptotic relative efficiency.

MSC:

62F05 Asymptotic properties of parametric tests
62G08 Nonparametric regression and quantile regression
62G10 Nonparametric hypothesis testing
60F99 Limit theorems in probability theory
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