An Affine-Invariant Generalization of the Wilcoxon Signed-Rank Test for the Bivariate Location Problem

Denis Larocque, Serge Tardif and Constance van Eeden

Australian & New Zealand Journal of Statistics, 2003, vol. 45, issue 2, pages 153-165

Abstract: This paper proposes an affine-invariant test extending the univariate Wilcoxon signed-rank test to the bivariate location problem. It gives two versions of the null distribution of the test statistic. The first version leads to a conditionally distribution-free test which can be used with any sample size. The second version can be used for larger sample sizes and has a limiting "&khgr;"₂-super-2 distribution under the null hypothesis. The paper investigates the relationship with a test proposed by Jan & Randles (1994). It shows that the Pitman efficiency of this test relative to the new test is equal to 1 for elliptical distributions but that the two tests are not necessarily equivalent for non-elliptical distributions. These facts are also demonstrated empirically in a simulation study. The new test has the advantage of not requiring the assumption of elliptical symmetry which is needed to perform the asymptotic version of the Jan and Randles test. Copyright 2003 Australian Statistical Publishing Association Inc..

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