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Efficient Fully Distribution-Free Center-Outward Rank Tests for Multiple-Output Regression and MANOVA

Marc Hallin (), Daniel Hlubinka and Sarka Hudecova

No 2021-13, Working Papers ECARES from ULB -- Universite Libre de Bruxelles

Abstract: Extending rank-based inference to a multivariate setting such as multiple-output regression or MANOVA with unspecified d-dimensional error density has remained an open problem for more than half a century. None of the many solutions proposed so far is enjoying the combination of distribution-freeness and efficiency that makes rank-based inference a successful tool in the univariate setting. A concept of center- outward multivariate ranks and signs based on measure transportation ideas has been introduced recently. Center-outward ranks and signs are not only distribution-free but achieve in dimension d > 1 the (essential) maximal ancillarity property of traditional univariate ranks. In the present case, we show that fully distribution-free testing procedures based on center-outward ranks can achieve parametric efficiency. We establish the Hajek representation and asymptotic normality results required in the construction of such tests in multiple-output regression and MANOVA models. Simulations and an empirical study demonstrate the excellent performance of the proposed procedures.

Keywords: Distribution-free tests; Multivariate ranks; Multivariate signs; Hjajek representation. (search for similar items in EconPapers)
Pages: 51 p.
Date: 2021-07
New Economics Papers: this item is included in nep-ecm
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