Asymptotic local efficiency of Cramér\,-\,von Mises tests for multivariate independence

DOI10.1214/009053606000000984zbMATH Open1114.62058arXiv0708.0485OpenAlexW2033598072MaRDI QIDQ997376FDOQ997376

Authors: Christian Genest, Jean-François Quessy, Bruno Rémillard 

Publication date: 23 July 2007

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: Deheuvels [J. Multivariate Anal. 11 (1981) 102--113] and Genest and R'{e}millard [Test 13 (2004) 335--369] have shown that powerful rank tests of multivariate independence can be based on combinations of asymptotically independent Cram'{e}r--von Mises statistics derived from a M"{o}bius decomposition of the empirical copula process. A result on the large-sample behavior of this process under contiguous sequences of alternatives is used here to give a representation of the limiting distribution of such test statistics and to compute their relative local asymptotic efficiency. Local power curves and asymptotic relative efficiencies are compared under familiar classes of copula alternatives.

Full work available at URL: https://arxiv.org/abs/0708.0485

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zbMATH Keywords

contiguous alternativesasymptotic relative efficiencyempirical copula processlocal power curveArchimedean copula modelstests of multivariate independenceMöbius inversion formulaCramér-von Mises statistics

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15)

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Cited In (49)

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