On the Efficiency of Affine Invariant Multivariate Rank Tests
In this paper the asymptotic Pitman efficiencies of the affine invariant multivariate analogues of the rank tests based on the generalized median of Oja are considered. Formulae for asymptotic relative efficiencies are found and, under multivariate normal and multivariatetdistributions, relative efficiencies with respect to Hotelling'sT2test are calculated.
Volume (Year): 66 (1998)
Issue (Month): 1 (July)
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- Oja, Hannu, 1983. "Descriptive statistics for multivariate distributions," Statistics & Probability Letters, Elsevier, vol. 1(6), pages 327-332, October.
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