Cookies?
Library Header Image
LSE Research Online LSE Library Services

A study of the power and robustness of a new test for independence against contiguous alternatives

Dhar, Subhra Sankar, Dassios, Angelos and Bergsma, Wicher (2016) A study of the power and robustness of a new test for independence against contiguous alternatives. Electronic Journal of Statistics, 10 (1). pp. 330-351. ISSN 1935-7524

[img]
Preview
PDF - Published Version
Available under License Creative Commons Attribution.

Download (425kB) | Preview

Identification Number: 10.1214/16-EJS1107

Abstract

Various association measures have been proposed in the literature that equal zero when the associated random variables are independent. However many measures, (e.g., Kendall's tau), may equal zero even in the presence of an association between the random variables. In order to over- come this drawback, Bergsma and Dassios (2014) proposed a modification of Kendall's tau, (denoted as τ ∗), which is non-negative and zero if and only if independence holds. In this article, we investigate the robustness properties and the asymptotic distributions of τ ∗ and some other well-known measures of association under null and contiguous alternatives. Based on these asymptotic distributions under contiguous alternatives, we study the asymptotic power of the test based on τ ∗ under contiguous alternatives and compare its performance with the performance of other well-known tests available in the literature.

Item Type: Article
Official URL: http://www.imstat.org/ejs/
Additional Information: © 2016 The Authors
Divisions: Statistics
Subjects: Q Science > QA Mathematics
Sets: Departments > Statistics
Date Deposited: 17 Feb 2016 12:15
Last Modified: 20 Jun 2019 02:15
URI: http://eprints.lse.ac.uk/id/eprint/65387

Actions (login required)

View Item View Item

Downloads

Downloads per month over past year

View more statistics