The Annals of Statistics

A Robustification of the Sign Test Under Mixing Conditions

M. Falk and W. Kohne

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Abstract

A robustified version of the two sample sign test is defined which is insensitive to certain deviations from the assumption of the independence of the observations. These deviations are described in terms of mixing conditions. The asymptotic value of the power function of this robustified sign test is computed on contiguous alternatives possessing the same dependence structure. This entails the calculation of its asymptotic relative efficiencies with respect to some tests which are optimal on these alternatives in the independent case. It becomes apparent that in general the relative performance of two tests heavily depends on the structure of dependence of the observations, i.e. it may either increase or decrease.

Article information

Source
Ann. Statist., Volume 12, Number 2 (1984), 716-729.

Dates
First available in Project Euclid: 12 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aos/1176346517

Digital Object Identifier
doi:10.1214/aos/1176346517

Mathematical Reviews number (MathSciNet)
MR740923

Zentralblatt MATH identifier
0559.62036

JSTOR
links.jstor.org

Subjects
Primary: 62M07: Non-Markovian processes: hypothesis testing
Secondary: 62G10: Hypothesis testing

Keywords
Robustification Sign test Wilcoxon test mixing processes asymptotic relative efficiency contiguous alternatives

Citation

Falk, M.; Kohne, W. A Robustification of the Sign Test Under Mixing Conditions. Ann. Statist. 12 (1984), no. 2, 716--729. doi:10.1214/aos/1176346517. https://projecteuclid.org/euclid.aos/1176346517


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