Sign test of independence between two random vectors
Taskinen, S., Kankainen, A., & Oja, H. (2003). Sign test of independence between two random vectors. Statist. Probab. Lett., 62 (1), 9-21. doi:10.1016/S0167-7152(02)00399-1
Julkaistu sarjassaStatistics & Probability Letters
© Elsevier. This is an author's final draft version of an article whose final and definitive form has been published by Elsevier.
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.