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

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

2007-08-03

arxiv.org/abs/0708.0485v1

Annals of Statistics 2007, Vol. 35, No. 1, 166-191

Mathematics

Statistics Theory

Published at http://dx.doi.org/10.1214/009053606000000984 in the Annals of Statistics (http://www.imstat.org/aos/) by the Inst

Scientific paper

10.1214/009053606000000984

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.

Affiliated with

Also associated with

No associations

Rating

Asymptotic local efficiency of Cramér--von Mises tests for multivariate independence does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Asymptotic local efficiency of Cramér--von Mises tests for multivariate independence, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Asymptotic local efficiency of Cramér--von Mises tests for multivariate independence will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-602000