The Annals of Statistics

Robust Tests for Spherical Symmetry and Their Application to Least Squares Regression

M. L. King

Full-text: Open access

Abstract

Invariance is used to show that Kariya and Eaton's test for multivariate spherical symmetry is UMP invariant against elliptically symmetric distributions. Also both the null and alternative distributions of the test statistic are found to be the same as those which occur when the sample is normally distributed. UMP and UMPU tests for serial correlation derived assuming normality are found to be even more robust against departure from this assumption than was recently demonstrated by Kariya. When applied to the linear regression model, these results give useful robustness properties for Kadiyala's $T1$ test and the Durbin-Watson test.

Article information

Source
Ann. Statist., Volume 8, Number 6 (1980), 1265-1271.

Dates
First available in Project Euclid: 12 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aos/1176345199

Digital Object Identifier
doi:10.1214/aos/1176345199

Mathematical Reviews number (MathSciNet)
MR594643

Zentralblatt MATH identifier
0441.62049

JSTOR
links.jstor.org

Subjects
Primary: 62G10: Hypothesis testing
Secondary: 62G35: Robustness 62H15: Hypothesis testing 62J05: Linear regression

Keywords
Tests for sphericity UMP test robustness invariance linear model Durbin-Watson test

Citation

King, M. L. Robust Tests for Spherical Symmetry and Their Application to Least Squares Regression. Ann. Statist. 8 (1980), no. 6, 1265--1271. doi:10.1214/aos/1176345199. https://projecteuclid.org/euclid.aos/1176345199


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