Optimal rank-based tests for homogeneity of scatter
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Publication:930654
DOI10.1214/07-AOS508zbMATH Open1360.62288arXiv0806.2963OpenAlexW3098345134MaRDI QIDQ930654FDOQ930654
Publication date: 1 July 2008
Published in: The Annals of Statistics (Search for Journal in Brave)
Abstract: We propose a class of locally and asymptotically optimal tests, based on multivariate ranks and signs for the homogeneity of scatter matrices in elliptical populations. Contrary to the existing parametric procedures, these tests remain valid without any moment assumptions, and thus are perfectly robust against heavy-tailed distributions (validity robustness). Nevertheless, they reach semiparametric efficiency bounds at correctly specified elliptical densities and maintain high powers under all (efficiency robustness). In particular, their normal-score version outperforms traditional Gaussian likelihood ratio tests and their pseudo-Gaussian robustifications under a very broad range of non-Gaussian densities including, for instance, all multivariate Student and power-exponential distributions.
Full work available at URL: https://arxiv.org/abs/0806.2963
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semiparametric efficiencyadaptivitylocal asymptotic normalityscatter matrixshape matrixelliptic densities
Nonparametric hypothesis testing (62G10) Nonparametric robustness (62G35) Hypothesis testing in multivariate analysis (62H15)
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Cited In (14)
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- Asymptotic distributions of robust shape matrices and scales
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