Recently Borroni and Zenga (2007) proposed a new nonparametric test for independence; the corresponding test-statistic Dn is based on Gini’s mean difference computed on the total ranks obtained on the basis of two rankings of a sample of n units. The considered test is a competitor of classical tools such as Sperman’s rho, Kendall’s tau and Gini’s cograduation index. While some research work has been done to evaluate the performance of Dn in small samples, this paper reports some further asymptotical results. The Pitman asymptotic relative efficiency (ARE) of Dn with respect to its competitors is computed for the Fairlie-Gumbel-Morgenstern distribution. In addition, some simulation results are reported for other families of distribution where the computation of the ARE poses some technical difficulties.

Borroni, C. (2009). Evaluating the asymptotic performance of a test for independence based on ranks. FAR EAST JOURNAL OF THEORETICAL STATISTICS, 27(1), 57-71.

Evaluating the asymptotic performance of a test for independence based on ranks

BORRONI, CLAUDIO GIOVANNI
2009

Abstract

Recently Borroni and Zenga (2007) proposed a new nonparametric test for independence; the corresponding test-statistic Dn is based on Gini’s mean difference computed on the total ranks obtained on the basis of two rankings of a sample of n units. The considered test is a competitor of classical tools such as Sperman’s rho, Kendall’s tau and Gini’s cograduation index. While some research work has been done to evaluate the performance of Dn in small samples, this paper reports some further asymptotical results. The Pitman asymptotic relative efficiency (ARE) of Dn with respect to its competitors is computed for the Fairlie-Gumbel-Morgenstern distribution. In addition, some simulation results are reported for other families of distribution where the computation of the ARE poses some technical difficulties.
Articolo in rivista - Articolo scientifico
nonparametric tests, rank correlation measures, asymptotic relative efficiency.
English
Borroni, C. (2009). Evaluating the asymptotic performance of a test for independence based on ranks. FAR EAST JOURNAL OF THEORETICAL STATISTICS, 27(1), 57-71.
Borroni, C
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/10281/5838
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