Asymptotic Z and chi-squared tests with auxiliary information

The main goal of this article is to study how an auxiliary information can be used to improve the efficiency of two famous statistical tests: the Z-test and the chi-square test. Many definitions of auxiliary information can be found in the statistical literature. In this article, the notion of auxiliary information is discussed from a very general point of view and depends on the relevant test. These two statistical tests are modified so that this information is taken into account. It is shown in particular that the efficiency of these new tests is improved in the sense of Pitman’s ARE. Some statistical examples illustrate the use of this method.