Asymptotic tail approximations for some nonparametric test statistics

Cyrille Joutard

Journal of Nonparametric Statistics, 2020, vol. 32, issue 3, 756-768

Abstract: We give some asymptotic approximations for the upper tail probabilities of two nonparametric test statistics, namely the Wilcoxon signed-rank statistic and Kendall's tau coefficient. Then, we provide numerical comparisons, by comparing the exact probabilities with a normal approximation, a classical saddlepoint approximation, a Lugannani and Rice saddlepoint approximation and an Edgeworth expansion.

Date: 2020
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DOI: 10.1080/10485252.2020.1797022

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