Bounds for the chi-square approximation of Friedman's statistic by Stein's method

DOI10.3150/22-BEJ1530MaRDI QIDQ6103223zbMATH OpenOpenAlexFDO

Authors Robert E. Gaunt, Gesine Reinert

Publication date 2 June 2023

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2111.00949, https://projecteuclid.org/journals/bernoulli/volume-29/issue-3/Bounds-for-the-chi-square-approximation-of-Friedmans-statistic-by/10.3150/22-BEJ1530.full

zbMATH Keywords

chi-square approximationexchangeable pairFriedman's statisticrate of convergenceStein's method

Mathematics Subject Classification ID

Statistical distribution theory (62Exx) Multivariate analysis (62Hxx)

Abstract: Friedman's chi-square test is a non-parametric statistical test for $rgeq2$ treatments across $nge1$ trials to assess the null hypothesis that there is no treatment effect. We use Stein's method with an exchangeable pair coupling to derive an explicit bound on the distance between the distribution of Friedman's statistic and its limiting chi-square distribution, measured using smooth test functions. Our bound is of the optimal order $n^{-1}$, and also has an optimal dependence on the parameter $r$, in that the bound tends to zero if and only if $r/nightarrow0$. From this bound, we deduce a Kolmogorov distance bound that decays to zero under the weaker condition $r^{1/2}/nightarrow0$.

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Cited in

(1)

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