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Saddlepoint approximations and tests based on multivariate M-estimates

Robinson, J. ; Ronchetti, Elvezio ; Young, G. A.

In: The Annals of Statistics, 2003, vol. 31, no. 4, p. 1154-1169

We consider multidimensional M-functional parameters defined by expectations of score functions associated with multivariate M-estimators and tests for hypotheses concerning multidimensional smooth functions of these parameters. We propose a test statistic suggested by the exponent in the saddlepoint approximation to the density of the function of the M-estimates. This statistic is analogous to...