Chernoff-Savage and Hodges-Lehmann results for Wilks' test of multivariate independence

DOI10.1214/193940307000000130arXiv0805.2305MaRDI QIDQ6209530FDOQ6209530

Authors: Marc Hallin, Davy Paindaveine 

Publication date: 15 May 2008

Abstract: We extend to rank-based tests of multivariate independence the Chernoff-Savage and Hodges-Lehmann classical univariate results. More precisely, we show that the Taskinen, Kankainen and Oja (2004) normal-score rank test for multivariate independence uniformly dominates -- in the Pitman sense -- the classical Wilks (1935) test, which establishes the Pitman non-admissibility of the latter, and provide, for any fixed space dimensions $p,q$ of the marginals, the lower bound for the asymptotic relative efficiency, still with respect to Wilks' test, of the Wilcoxon version of the same.

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Hypothesis testing in multivariate analysis (62H15)

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