Local efficiency of a Cramer-von!Mises test of independence

被引：33

作者：

Genest, C ^{[1
]}

Quessy, JF

Rémillard, B

机构：

[1] Univ Laval, Dept Math & Stat, Ste Foy, PQ G1K 7P4, Canada

[2] Univ Quebec, Dept Math & Informat, Trois Rivieres, PQ G9A 5H7, Canada

[3] HEC Montreal, Serv Enseignement Methodes Quantitat Gest, Montreal, PQ H3T 2A7, Canada

来源：

JOURNAL OF MULTIVARIATE ANALYSIS | 2006年 / 97卷 / 01期

基金：

加拿大自然科学与工程研究理事会;

关键词：

asymptotic relative efficiency; contiguous alternatives; empirical copula process; linear rank statistics;

D O I：

10.1016/j.jmva.2005.03.003

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Deheuvels proposed a rank test of independence based on a Cramer-von Mises functional of the empirical copula process. Using a general result on the asymptotic distribution of this process under sequences of contiguous alternatives, the local power curve of Deheuvels' test is computed in the bivariate case and compared to that of competing procedures based on linear rank statistics. The Gil-Pelaez inversion formula is used to make additional comparisons in terms of a natural extension of Pitman's measure of asymptotic relative efficiency. (c) 2005 Elsevier Inc. All rights reserved.

引用

页码：274 / 294

页数：21

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