A moment generating function of a combination of linear rank tests and its asymptotic efficiency

Hidetoshi Murakami ()
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Hidetoshi Murakami: Tokyo University of Science

TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2016, vol. 25, issue 4, No 5, 674-691

Abstract: Abstract When testing hypotheses in two-sample problems, the Lepage test has often been used to jointly test the location and scale parameters, and has been discussed by many authors over the years. The Lepage test was a combination of the Wilcoxon statistic and the Ansari–Bradley statistic. Various Lepage-type tests were proposed with discussions of an asymptotic relative efficiency (Duran et al., Biometrika 63:173–176, 1976; Goria, Stat Neerl 36:3–13, 1982), a robustness and a power comparison (Neuhäuser, Commun Stat Theory Methods 29:67–78, 2000; Büning, J Appl Stat 29:907–924, 2002) and an adaptive test (Büning and Thadewald, J Stat Comput Sim 65:287–310, 2000). We derive an expression for the moment generating function of a linear combination of two linear rank statistics. As a suggested Lepage-type test, we use a combination of the generalized Wilcoxon statistic and the generalized Mood statistic. Deriving the exact critical value of the statistic can be difficult when the sample sizes are increasing. In this situation, an approximation method to the distribution function of the test statistic can be useful with a higher order moment. We use a moment-based approximation with an adjusted gamma polynomial to evaluate the upper tail probability of a Lepage-type test for a finite sample size. We determine the asymptotic efficiencies of the Lepage and Lepage-type tests for various distributions.

Keywords: Asymptotic efficiency; Lepage test; Moment-based approximation; Moment generating function; 62G10 (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1007/s11749-016-0490-6

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