On Distribution-Free Tests for the Multivariate Two-Sample Location-Scale Model

Valentin Rousson

Journal of Multivariate Analysis, 2002, vol. 80, issue 1, 43-57

Abstract: In this paper, we propose simple exact procedures for testing both a location shift and/or a scale change between two multivariate distributions. Our tests are strictly distribution-free and can be made either scale invariant or rotation invariant. Our approach combines a generalization of the Wilcoxon test based on projections of the data onto the first principal component, a generalization of the Siegel-Tukey test based on the concept of data depth, and a bivariate test for the location problem proposed by K. V. Mardia (1967, J. Roy. Statist. Soc. Ser. B29, 320-342). In addition, we show that the limiting null distribution of a test statistic proposed by R. Y. Liu and K. Singh (1993, J. Amer. Statist. Assoc.88, 252-260) does not depend on the depth considered.

Keywords: data; depth; multivariate; orderings; nonparametric; methods; principal; component; analysis; rank; tests (search for similar items in EconPapers)
Date: 2002
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0047-259X(00)91981-X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:80:y:2002:i:1:p:43-57

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Journal of Multivariate Analysis is currently edited by de Leeuw, J.

More articles in Journal of Multivariate Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().