Nonparametric multivariate rank tests and their unbiasedness

DOI10.3150/10-BEJ326MaRDI QIDQ408099zbMATH OpenOpenAlexFDO

Authors Jan Kalina, Jana Jurečková

Publication date 29 March 2012

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1203.0450

zbMATH Keywords

Wilcoxon testaffine invarianceunbiasednesscontiguityKolmogorov-Smirnov testLehmann alternativesLiu-Singh testpsi testSavage testtwo-sample multivariate model

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10)

Abstract: Although unbiasedness is a basic property of a good test, many tests on vector parameters or scalar parameters against two-sided alternatives are not finite-sample unbiased. This was already noticed by Sugiura [Ann. Inst. Statist. Math. 17 (1965) 261--263]; he found an alternative against which the Wilcoxon test is not unbiased. The problem is even more serious in multivariate models. When testing the hypothesis against an alternative which fits well with the experiment, it should be verified whether the power of the test under this alternative cannot be smaller than the significance level. Surprisingly, this serious problem is not frequently considered in the literature. The present paper considers the two-sample multivariate testing problem. We construct several rank tests which are finite-sample unbiased against a broad class of location/scale alternatives and are finite-sample distribution-free under the hypothesis and alternatives. Each of them is locally most powerful against a specific alternative of the Lehmann type. Their powers against some alternatives are numerically compared with each other and with other rank and classical tests. The question of affine invariance of two-sample multivariate tests is also discussed.

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