On the rate of convergence ofL- andR-statistics under alternatives

Asymptotic distributions of test statistics under alternatives are important from the point of view of their power properties. When the limiting distributions of test statistics are specified under the hypothesis in a certain sense, LeCam's third lemma (4], Chapter 6) enables one to obtain their limiting distributions under close alternatives. In this paper we generalize LeCam's third lemma by using the rate of convergence in the case of asymptotically efficient test statistics. A general lemma is proved which is specified to linear combinations of order statistics (L-statistics) and linear rank statistics (R-statistics). Edgeworth-type asymptotic expansions for these statistics under alternatives are considered in 3]. Supported by the Russian Foundation for Fundamental Research (grant No. 93-01-01446). Proceedings of the XVI Seminar on Stability Problems for Stochastic Models, Part I, Eger, Hungary, 1994.