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On some multivariate sign tests for scatter matrix eigenvalues

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  • Bernard, Gaspard
  • Verdebout, Thomas

Abstract

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.

Suggested Citation

  • Bernard, Gaspard & Verdebout, Thomas, 2024. "On some multivariate sign tests for scatter matrix eigenvalues," Econometrics and Statistics, Elsevier, vol. 29(C), pages 252-260.
    • Handle: RePEc:eee:ecosta:v:29:y:2024:i:c:p:252-260
    DOI: 10.1016/j.ecosta.2021.04.001
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    References listed on IDEAS

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