6533b858fe1ef96bd12b59da

RESEARCH PRODUCT

Sign test of independence between two random vectors

Annaliisa KankainenHannu OjaSara Taskinen

subject

Statistics and ProbabilityDiscrete mathematicsStatistics::TheoryMultivariate random variableExtension (predicate logic)robustnessQuadrant testPitman efficiencyTest (assessment)Exact testStatisticsChi-square testTest statisticSign testaffine invarianceStatistics Probability and UncertaintyIndependence (probability theory)MathematicsWilks’ test

description

A new affine invariant extension of the quadrant test statistic Blomqvist (Ann. Math. Statist. 21 (1950) 593) based on spatial signs is proposed for testing the hypothesis of independence. In the elliptic case, the new test statistic is asymptotically equivalent to the interdirection test by Gieser and Randles (J. Amer. Statist. Assoc. 92 (1997) 561) but is easier to compute in practice. Limiting Pitman efficiencies and simulations are used to compare the test to the classical Wilks’ test. peerReviewed

yearjournalcountryeditionlanguage
2003-03-01
http://urn.fi/URN:NBN:fi:jyu-201211293129