Inference via Randomized Test Statistics

We show that external randomization may enforce the convergence of test statistics to their limiting distributions in particular cases. This results in a sharper inference. Our approach is based on a central limit theorem for weighted sums. We apply our method to a family of rank-based test statistics and a family of phi-divergence test statistics and prove that, with overwhelming probability with respect to the external randomization, the randomized statistics converge at the rate $O(1\mathrm{/}n)$ (up to some logarithmic factors) to the limiting chi-square distribution in Kolmogorov metric.