Serial and nonserial sign-and-rank statistics: Asymptotic representation and asymptotic nor\-mal\-ity

DOI10.1214/009053605000000769zbMATH Open1091.62033arXivmath/0605506OpenAlexW2030304038MaRDI QIDQ2493554FDOQ2493554

Bas J. M. Werker, Catherine Vermandele, Marc Hallin

Publication date: 21 June 2006

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: The classical theory of rank-based inference is entirely based either on ordinary ranks, which do not allow for considering location (intercept) parameters, or on signed ranks, which require an assumption of symmetry. If the median, in the absence of a symmetry assumption, is considered as a location parameter, the maximal invariance property of ordinary ranks is lost to the ranks and the signs. This new maximal invariant thus suggests a new class of statistics, based on ordinary ranks and signs. An asymptotic representation theory `{a} la H'{a}jek is developed here for such statistics, both in the nonserial and in the serial case. The corresponding asymptotic normality results clearly show how the signs add a separate contribution to the asymptotic variance, hence, potentially, to asymptotic efficiency. As shown by Hallin and Werker [Bernoulli 9 (2003) 137--165], conditioning in an appropriate way on the maximal invariant potentially even leads to semiparametrically efficient inference. Applications to semiparametric inference in regression and time series models with median restrictions are treated in detail in an upcoming companion paper.

Full work available at URL: https://arxiv.org/abs/math/0605506

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zbMATH Keywords

ranksmedian regressionsignswhite noisemaximal invariantgroup invariancemedian restrictionsHájek representation

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited In (7)

• Semiparametrically Efficient Inference Based on Signs and Ranks for Median-Restricted Models
• Semiparametrically efficient rank-based inference for shape. II: Optimal \(R\)-estimation of shape
• Residual-based rank specification tests for AR-GARCH type models
• A conversation with Marc Hallin
• Asymptotic linearity of serial and nonserial multivariate signed rank statistics
• Semiparametrically efficient inference based on signed ranks in symmetric independent component models
• Title not available (Why is that?)

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