The Annals of Statistics

On the multivariate runs test

Norbert Henze and Mathew D. Penrose

Full-text: Open access

Abstract

For independent $d$-variate random variables $X_1,\dots,X_m$ with common density $f$ and $Y_1,\dots,Y_n$ with common density $g$, let $R_{m,n}$ be the number of edges in the minimal spanning tree with vertices $X_1,\dots,X_m$, $Y_1,\dots,Y_n$ that connect points from different samples. Friedman and Rafsky conjectured that a test of $H_0: f = g$ that rejects $H_0$ for small values of $R_{m,n}$ should have power against general alternatives. We prove that $R_{m,n}$ is asymptotically distribution-free under $H_0$ , and that the multivariate two-sample test based on $R_{m,n}$ is universally consistent.

Article information

Source
Ann. Statist., Volume 27, Number 1 (1999), 290-298.

Dates
First available in Project Euclid: 5 April 2002

Permanent link to this document
https://projecteuclid.org/euclid.aos/1018031112

Digital Object Identifier
doi:10.1214/aos/1018031112

Mathematical Reviews number (MathSciNet)
MR1701112

Zentralblatt MATH identifier
0944.62057

Subjects
Primary: 62H15: Hypothesis testing
Secondary: 62G10: Hypothesis testing 60F05: Central limit and other weak theorems 60F15: Strong theorems

Keywords
Multivariate two-sample problem minimal spanning tree multivariate runs test homogeneous Poisson process

Citation

Henze, Norbert; Penrose, Mathew D. On the multivariate runs test. Ann. Statist. 27 (1999), no. 1, 290--298. doi:10.1214/aos/1018031112. https://projecteuclid.org/euclid.aos/1018031112


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