Testing for spherical and elliptical symmetry

DOI10.1016/J.JMVA.2020.104667zbMATH Open1450.62054arXiv2004.13151OpenAlexW3049317733MaRDI QIDQ2201558FDOQ2201558

Fadoua Balabdaoui, Hajo Holzmann, Isaia Albisetti

Publication date: 29 September 2020

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Abstract: We construct new testing procedures for spherical and elliptical symmetry based on the characterization that a random vector $X$ with finite mean has a spherical distribution if and only if $Ex[u^{o}pX|v^{o}pX]=0$ holds for any two perpendicular vectors $u$ and $v$. Our test is based on the Kolmogorov-Smirnov statistic, and its rejection region is found via the spherically symmetric bootstrap. We show the consistency of the spherically symmetric bootstrap test using a general Donsker theorem which is of some independent interest. For the case of testing for elliptical symmetry, the Kolmogorov-Smirnov statistic has an asymptotic drift term due to the estimated location and scale parameters. Therefore, an additional standardization is required in the bootstrap procedure. In a simulation study, the size and the power properties of our tests are assessed for several distributions and the performance is compared to that of several competing procedures.

Full work available at URL: https://arxiv.org/abs/2004.13151

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zbMATH Keywords

bootstrapempirical processspherical symmetryKolmogorov-Smirnov testelliptical symmetry

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Hypothesis testing in multivariate analysis (62H15)

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Cited In (8)

• Title not available (Why is that?)
• Tests of elliptical symmetry and the asymptotic tail behavior of the statistics
• Testing for spherical and elliptical symmetry
• A nonparametric test for elliptical distribution based on kernel embedding of probabilities
• Testing circular symmetry
• A statistic for testing the null hypothesis of elliptical symmetry
• Visual tests for elliptically symmetric distributions
• Testing for ellipsoidal symmetry: a comparison study

Uses Software

• sipack

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