Optimal rank-based tests for homogeneity of scatter
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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.
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Cited in
(18)- Optimal tests for homogeneity of covariance, scale, and shape
- Asymptotic distributions of robust shape matrices and scales
- An exact rank test for scale under normality using Helmert's transformation
- Optimal tests for elliptical symmetry: specified and unspecified location
- Distribution and quantile functions, ranks and signs in dimension \(d\): a measure transportation approach
- Rank-based testing for semiparametric VAR models: a measure transportation approach
- Semiparametrically efficient rank-based inference for shape. I: optimal rank-based tests for sphericity
- Optimal rank-based tests for common principal components
- On Hodges and Lehmann’s “6/π Result”
- Rank Test of Location Optimal for Hyperbolic Secant Distribution
- Robust tests for scatter separability beyond Gaussianity
- Optimal rank-based testing for principal components
- A conversation with Marc Hallin
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- Marc Hallin: a commented bibliography (from 1972 to 2023)
- A bipartite ranking approach to the two-sample problem
- A canonical definition of shape
- Semiparametric error-correction models for cointegration with trends: pseudo-Gaussian and optimal rank-based tests of the cointegration rank
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