Comparison of maximum statistics for hypothesis testing when a nuisance parameter is present only under the alternative

Abstract

In many practical problems, a hypothesis testing involves a nuisance parameter which appears only under the alternative hypothesis. Davies (1977, Biometrika 64, 247-254) proposed the maximum of the score statistics over the whole range of the nuisance parameter as a test statistic for this type of hypothesis testing. Freidlin, Podgor, and Gastwirth (1999, Biometrics 55, 883-886) studied two other simpler maximum test statistics, the maximum of the score statistics at two extreme points of the nuisance parameter, and the maximum of the score statistics at three points of the nuisance parameter including the two extreme points. In this article, we compare the powers of these three maximum-type statistics in the context of three genetic problems.