Hoeffding-Blum-Kiefer-Rosenblatt independence test statistic on partly not identically distributed data

Daniel Gaigall

Communications in Statistics - Theory and Methods, 2022, vol. 51, issue 12, 4006-4028

Abstract: The established Hoeffding-Blum-Kiefer-Rosenblatt independence test statistic is investigated for partly not identically distributed data. Surprisingly, it turns out that the statistic has the well-known distribution-free limiting null distribution of the classical criterion under standard regularity conditions. An application is testing goodness-of-fit for the regression function in a non parametric random effects meta-regression model, where the consistency is obtained as well. Simulations investigate size and power of the approach for small and moderate sample sizes. A real data example based on clinical trials illustrates how the test can be used in applications.

Date: 2022
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DOI: 10.1080/03610926.2020.1805767

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