High-order asymptotic expansions for robust tests
稳健检验的高阶渐近展开
This paper provides high‐order asymptotic expansions for the M‐ratio and the signed‐root M‐ratio robust test statistics, which allow one to compute accurate approximations to significance or critical values using the Edgeworth approximation, the Bartlett correction, the variance correction or the saddlepoint approximation. Specific results are obtained for the linear regression model with the Huber M‐estimator. A Monte Carlo study illustrates the numerical accuracy of these…