Tests of Independence Based on Sign and Rank Covariances

S. Taskinen (), A. Kankainen () and H. Oja ()
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S. Taskinen: University of Jyväskylä, Department of Mathematics and Statistics
A. Kankainen: University of Jyväskylä, Department of Mathematics and Statistics
H. Oja: University of Jyväskylä, Department of Mathematics and Statistics

A chapter in Developments in Robust Statistics, 2003, pp 387-403 from Springer

Abstract: Summary In this paper three different concepts of bivariate sign and rank, namely marginal sign and rank, spatial sign and rank and affine equivariant sign and rank, are considered. The aim is to see whether these different sign and rank covariances can be used to construct tests for the hypothesis of independence. In some cases (spatial sign, affine equivariant sign and rank) an additional assumption on the symmetry of marginal distribution is needed. Limiting distributions of test statistics under the null hypothesis as well as under interesting sequences of contiguous alternatives are derived. Asymptotic relative efficiencies with respect to the regular correlation test are calculated and compared. Finally the theory is illustrated by a simple example.

Keywords: Marginal signs and ranks; Spatial signs and ranks; Affine equivariant signs and ranks; Pitman efficiency; Robustness (search for similar items in EconPapers)
Date: 2003
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-642-57338-5_34

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DOI: 10.1007/978-3-642-57338-5_34

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