On the Efficiency of Affine Invariant Multivariate Rank Tests

J. Möttönen, T. P. Hettmansperger, H. Oja and J. Tienari

Journal of Multivariate Analysis, 1998, vol. 66, issue 1, 118-132

Abstract: In this paper the asymptotic Pitman efficiencies of the affine invariant multivariate analogues of the rank tests based on the generalized median of Oja are considered. Formulae for asymptotic relative efficiencies are found and, under multivariate normal and multivariatetdistributions, relative efficiencies with respect to Hotelling'sT2test are calculated.

Keywords: Asymptotic efficiency; Oja median; multivariate signed-rank test; multivariate-rank test; Pitman efficiency (search for similar items in EconPapers)
Date: 1998
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Citations: View citations in EconPapers (8)

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