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On the computation of the exact distribution of power divergence test statistics. (English) Zbl 1249.60070
Summary: We introduce several algorithms to generate the vectors in the support of a multinomial distribution. Computational studies are carried out to analyze their efficiency with respect to CPU time and to calculate their efficiency bounds. The proposed algorithm is used to calculate exact distributions of the power divergence test statistics under the hypothesis of uniformity. Finally, several exact power comparisons are carried out for different divergence statistics and families of alternatives to the uniformity hypothesis.

60G10 Stationary stochastic processes
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
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