Conditional tests for elliptical symmetry using robust estimators

DOI10.1080/03610926.2015.1026997MaRDI QIDQ2979955zbMATH OpenOpenAlexFDO

Authors Ana M. Bianco, Graciela Boente, Isabel M. Rodrigues

Publication date 27 April 2017

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1502.05600

zbMATH Keywords

bootstrapconditional testelliptical symmetryrobust estimation

Mathematics Subject Classification ID

Robustness and adaptive procedures (parametric inference) (62F35) Bootstrap, jackknife and other resampling methods (62F40) Hypothesis testing in multivariate analysis (62H15)

Abstract: This paper presents a procedure for testing the hypothesis that the underlying distribution of the data is elliptical when using robust location and scatter estimators instead of the sample mean and covariance matrix. Under mild assumptions that include elliptical distributions without first moments, we derive the test statistic asymptotic behaviour under the null hypothesis and under special alternatives. Numerical experiments allow to compare the behaviour of the tests based on the sample mean and covariance matrix with that based on robust estimators, under various elliptical distributions and different alternatives. This comparison was done looking not only at the observed level and power but we rather use the size-corrected relative exact power which provides a tool to assess the test statistic skill to detect alternatives. We also provide a numerical comparison with other competing tests.

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Cited in

(6)

• Conditional tests for elliptical symmetry
• Heterogeneous tail generalized COMFORT modeling via Cholesky decomposition
• A necessary power divergence-type family of tests for testing elliptical symmetry
• Visual tests for elliptically symmetric distributions
• A KL-divergence-based test for elliptical distribution
• Statistical analysis of proficiency testing results under elliptical distributions

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