Asymptotic local efficiency of Cramer-von Mises tests for multivariate independence

• 成果类型: Article
• 署名作者: Genest, Christian; Quessy, Jean-Francois; Remillard, Bruno
• 署名单位: Laval University; University of Quebec; University of Quebec Trois Rivieres; Universite de Montreal; HEC Montreal
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• DOI: 10.1214/009053606000000984
• 发表日期: 2007
• 页码: 166-191
• 关键词: NONPARAMETRIC TEST; kiefer; blum

摘要

Deheuvels [J. Multivariate Anal. 11 (1981) 102-113] and Genest and Remillard [Test 13 (2004) 335-369] have shown that powerful rank tests of multivariate independence can be based on combinations of asymptotically independent Cramer-von Mises statistics derived from a Mobius decomposition of the empirical copula process. A result on the large-sample behavior of this process under contiguous sequences of alternatives is used here to give a representation of the limiting distribution of such test statistics and to compute their relative local asymptotic efficiency. Local power curves and asymptotic relative efficiencies are compared under familiar classes of copula alternatives.