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June, 1984 A Robustification of the Sign Test Under Mixing Conditions
M. Falk, W. Kohne
Ann. Statist. 12(2): 716-729 (June, 1984). DOI: 10.1214/aos/1176346517

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.

Citation

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M. Falk. W. Kohne. "A Robustification of the Sign Test Under Mixing Conditions." Ann. Statist. 12 (2) 716 - 729, June, 1984. https://doi.org/10.1214/aos/1176346517

Information

Published: June, 1984
First available in Project Euclid: 12 April 2007

zbMATH: 0559.62036
MathSciNet: MR740923
Digital Object Identifier: 10.1214/aos/1176346517

Subjects:
Primary: 62M07
Secondary: 62G10

Rights: Copyright © 1984 Institute of Mathematical Statistics

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Vol.12 • No. 2 • June, 1984
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