On some multivariate sign tests for scatter matrix eigenvalues

Gaspard Bernard and Thomas Verdebout

Econometrics and Statistics, 2024, vol. 29, issue C, 252-260

Abstract: Multivariate sign-based tests for a class of testing problems on the eigenvalues of scatter matrices are constructed. The class of testing problems is characterized by real mappings h say. A necessary and sufficient condition on h to obtain asymptotically valid sign-based procedures is identified. A simulation study shows the very good robustness properties of our sign tests while their practical relevance is illustrated on a real data set.

Keywords: Multivariate signs; Eigenvalues of scatter matrices; Shape matrices; Hypothesis testing (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecosta:v:29:y:2024:i:c:p:252-260

DOI: 10.1016/j.ecosta.2021.04.001

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