Sign test of independence between two random vectors
Abstract
A new affine invariant extension of the quadrant test statistic Blomqvist (Ann. Math. Statist. 21 (1950) 593) based on spatial signs is proposed for testing the hypothesis of independence. In the elliptic case, the new test statistic is asymptotically equivalent to the interdirection test by Gieser and Randles (J. Amer. Statist. Assoc. 92 (1997) 561) but is easier to compute in practice. Limiting Pitman efficiencies and simulations are used to compare the test to the classical Wilks’ test.
Main Authors
Format
Articles
Research article
Published
2003
Series
Subjects
Publication in research information system
Publisher
Elsevier
The permanent address of the publication
https://urn.fi/URN:NBN:fi:jyu-201211293129Käytä tätä linkitykseen.
Review status
Peer reviewed
ISSN
0167-7152
DOI
https://doi.org/10.1016/S0167-7152(02)00399-1
Language
English
Published in
Statist. Probab. Lett.
Citation
- Taskinen, S., Kankainen, A., & Oja, H. (2003). Sign test of independence between two random vectors. Statist. Probab. Lett., 62(1), 9-21. https://doi.org/10.1016/S0167-7152(02)00399-1
License
Copyright© Elsevier. This is an author's final draft version of an article whose final and definitive form has been published by Elsevier.