Second order asymptotic distribution of the R phi-divergence goodness-of-fit statistics

Abstract

The distribution of each member of the family of statistics based on the R-phi-divergence for testing goodness-of-fit is a chi-squared to o(1) (Pardo [12]). In this paper a closer approximation to the exact distribution is obtained by extracting the phi -dependent second order component from the o(1) term.