Sign test of independence between two random vectors

Sara Taskinen, Annaliisa Kankainen and Hannu Oja

Statistics & Probability Letters, 2003, vol. 62, issue 1, 9-21

Abstract: 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.

Keywords: Affine; invariance; Pitman; efficiency; Quadrant; test; Robustness; Wilks'; test (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (16)

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