Large Deviations and Bahadur Efficiency of Some Rank Tests of Independence

Piotr Bajorski and Teresa Ledwina
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Piotr Bajorski: Technical University of Wrocław, Institute of Mathematics
Teresa Ledwina: Technical University of Wrocław, Institute of Mathematics

A chapter in Mathematical Statistics and Probability Theory, 1987, pp 11-23 from Springer

Abstract: Abstract Large deviations for a class of rank tests of bivariate independence against positive quadrant dependence are derived. The test statistics are closely related to a function-valued measure of dependence (so-called monotonic dependence function). Some efficiency comparisons of new tests to Spearman’s rho are given under bivariate dependence models introduced recently by Lawrance and Lewis and by Raftery.

Date: 1987
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-94-009-3965-3_2

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DOI: 10.1007/978-94-009-3965-3_2

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