Asymptotic expansions of the distributions of some test statistics

Summary A modified Wald statistic for testing simple hypothesis against fixed as well as local alternatives is proposed. The asymptotic expansions of the distributions of the proposed statistic as well as the Wald and Rao statistics under both the null and alternative hypotheses are obtained. The powers of these statistics are compared and its is shown that for special structures of parameters some statistics have same power in the sence of order . The results obtained are applied for testing the hypothesis about the covariance matrix of the multivariate normal distribution and it is shown that none of the tests based on the above statistics is uniformly superior. Research supported by the National Science Foundation Grant MCS 830149.