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On some characterizations and multidimensional criteria for testing homogeneity, symmetry and independence

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  • Chen, Feifei
  • Meintanis, Simos G.
  • Zhu, Lixing

Abstract

We propose three new characterizations and corresponding distance-based weighted test criteria for the two-sample problem, and for testing symmetry and independence with multivariate data. All quantities have the common feature of involving characteristic functions, and it is seen that these quantities are intimately related to some earlier methods, thereby generalizing them. The connection rests on a special choice of the weight function involved. Equivalent expressions of the distances in terms of densities are given as well as a Bayesian interpretation of the weight function is involved. The asymptotic behavior of the tests is investigated both under the null hypothesis and under alternatives, and affine invariant versions of the test criteria are suggested. Numerical studies are conducted to examine the performances of the criteria. It is shown that the normal weight function, which is the hitherto most often used, is seriously suboptimal. The procedures are biased in the sense that the corresponding test criteria degenerate in high dimension and hence a bias correction is required as the dimension tends to infinity.

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  • Chen, Feifei & Meintanis, Simos G. & Zhu, Lixing, 2019. "On some characterizations and multidimensional criteria for testing homogeneity, symmetry and independence," Journal of Multivariate Analysis, Elsevier, vol. 173(C), pages 125-144.
    • Handle: RePEc:eee:jmvana:v:173:y:2019:i:c:p:125-144
    DOI: 10.1016/j.jmva.2019.02.006
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    6. Norbert Henze & Pierre Lafaye De Micheaux & Simos G. Meintanis, 2022. "Tests for circular symmetry of complex-valued random vectors," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 31(2), pages 488-518, June.
    7. Chen, Feifei & Jiménez–Gamero, M. Dolores & Meintanis, Simos & Zhu, Lixing, 2022. "A general Monte Carlo method for multivariate goodness–of–fit testing applied to elliptical families," Computational Statistics & Data Analysis, Elsevier, vol. 175(C).
    8. Mirosław Krzyśko & Łukasz Smaga, 2020. "Measuring and Testing Mutual Dependence of Multivariate Functional Data," Statistics in Transition New Series, Polish Statistical Association, vol. 21(3), pages 21-37, September.
    9. Marc Hallin & Simos Meintanis & Klaus Nordhausen, 2024. "Consistent Distribution–Free Affine–Invariant Tests for the Validity of Independent Component Models," Working Papers ECARES 2024-04, ULB -- Universite Libre de Bruxelles.
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