Hypothesis Tests for Structured Rank Correlation Matrices

Samuel Perreault, Johanna G. Nešlehová and Thierry Duchesne

Journal of the American Statistical Association, 2023, vol. 118, issue 544, 2889-2900

Abstract: Joint modeling of a large number of variables often requires dimension reduction strategies that lead to structural assumptions of the underlying correlation matrix, such as equal pair-wise correlations within subsets of variables. The underlying correlation matrix is thus of interest for both model specification and model validation. In this article, we develop tests of the hypothesis that the entries of the Kendall rank correlation matrix are linear combinations of a smaller number of parameters. The asymptotic behavior of the proposed test statistics is investigated both when the dimension is fixed and when it grows with the sample size. We pay special attention to the restricted hypothesis of partial exchangeability, which contains full exchangeability as a special case. We show that under partial exchangeability, the test statistics and their large-sample distributions simplify, which leads to computational advantages and better performance of the tests. We propose various scalable numerical strategies for implementation of the proposed procedures, investigate their behavior through simulations and power calculations under local alternatives, and demonstrate their use on a real dataset of mean sea levels at various geographical locations. Supplementary materials for this article are available online.

Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:taf:jnlasa:v:118:y:2023:i:544:p:2889-2900

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DOI: 10.1080/01621459.2022.2096619

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