On some multivariate sign tests for scatter matrix eigenvalues

被引：0
|
作者：
Bernard, Gaspard [1 ,2 ]
Verdebout, Thomas [1 ,2 ]
机构：
[1] Univ libre Bruxelles, ECARES, Ave FD Roosevelt,50,CP114-04, B-1050 Brussels, Belgium
[2] ECARES, Dept Math, Ave FD Roosevelt 50,CP114-04, B-1050 Brussels, Belgium
来源：
ECONOMETRICS AND STATISTICS | 2024年 / 29卷
关键词：
Multivariate signs; Eigenvalues of scatter matrices; Shape matrices; Hypothesis testing; RANK-BASED TESTS; SPATIAL SIGN; NONPARAMETRIC-TESTS; PRINCIPAL; UNIFORMITY;
D O I：
10.1016/j.ecosta.2021.04.001
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Multivariate sign-based tests for a class of testing problems on the eigenvalues of scatter matrices are constructed. The class of testing problems is characterized by real mappings h say. A necessary and sufficient condition on h to obtain asymptotically valid sign-based procedures is identified. A simulation study shows the very good robustness properties of our sign tests while their practical relevance is illustrated on a real data set.(c) 2021 EcoSta Econometrics and Statistics. Published by Elsevier B.V. All rights reserved.
引用
收藏
页码：252 / 260
页数：9
相关论文
共 50 条
12345