Some results to evaluate the performance of a nonparametric test of independence introduced by Borroni and Zenga (2007) are considered. Monte Carlo simulations are reported and the Pitman asymptotic relative efficiency of the test, compared to other classical competitors, is computed in the case of the Fairlie-Gumbel-Morgenstern distribution.
Borroni, C. (2008). Some Results about the Power of a Rank Correlation Test. In Atti della XLIV Riunione Scientifica. Padova : CLEUP Padova.
Some Results about the Power of a Rank Correlation Test
BORRONI, CLAUDIO GIOVANNI
2008
Abstract
Some results to evaluate the performance of a nonparametric test of independence introduced by Borroni and Zenga (2007) are considered. Monte Carlo simulations are reported and the Pitman asymptotic relative efficiency of the test, compared to other classical competitors, is computed in the case of the Fairlie-Gumbel-Morgenstern distribution.
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