Hallin, Marc; Onatski, Alexei; Moreira J., Marcelo - European Centre for Advanced Research in Economics and … - 2011
This paper studies the asymptotic power of tests of sphericity against perturbations in a single unknown direction as … statistical experiments, we obtain asymptotic power envelopes and derive the asymptotic power for various sphericity tests in the … contiguity region. In particular, we show that the asymptotic power of the Tracy-Widom-type tests is trivial, whereas that of the …