Rank-based testing in linear models with stable errors
Marc Hallin (),
Thomas Verdebout and
David Veredas ()
ULB Institutional Repository from ULB -- Universite Libre de Bruxelles
Linear models with stable error densities are considered, and their local asymptotic normality with respect to the regression parameter is established. We use this result, combined with Le Cam's third lemma, to obtain local powers and asymptotic relative efficiencies for various classical rank tests (the regression and analysis of variance counterparts of theWilcoxon, van derWaerden and median tests) under α-stable densities with various values of the skewness parameter and tail index. The same results are used to construct new rank tests, based on 'stable scores', achieving parametric optimality at specified stable densities. A Monte Carlo study is conducted to compare their finite-sample relative performances. © American Statistical Association and Taylor & Francis 2011.
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Published in: Journal of nonparametric statistics (2011) v.23 nÂ° 2,p.305-320
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Journal Article: Rank-based testing in linear models with stable errors (2011)
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