A Chernoff-Savage result for shape:On the non-admissibility of pseudo-Gaussian methods
Chernoff and Savage [Asymptotic normality and efficiency of certain non-parametric tests, Ann. Math. Statist. 29 (1958) 972-994] established that, in the context of univariate location models, Gaussian-score rank-based procedures uniformly dominate--in terms of Pitman asymptotic relative efficiencies--their pseudo-Gaussian parametric counterparts. This result, which had quite an impact on the success and subsequent development of rank-based inference, has been extended to many location problems, including problems involving multivariate and/or dependent observations. In this paper, we show that this uniform dominance also holds in problems for which the parameter of interest is the shape of an elliptical distribution. The Pitman non-admissibility of the pseudo-Gaussian maximum likelihood estimator for shape and that of the pseudo-Gaussian likelihood ratio test of sphericity follow.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 97 (2006)
Issue (Month): 10 (November)
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description|
|Order Information:|| Postal: http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Marc Hallin & Madan Lal Puri, 1994. "Aligned rank tests for linear models with autocorrelated errors," ULB Institutional Repository 2013/2045, ULB -- Universite Libre de Bruxelles.
- Marc Hallin, 1994. "On the Pitman nonadmissibility of correlogram-based time series methods," ULB Institutional Repository 2013/2049, ULB -- Universite Libre de Bruxelles.
- Hallin, Marc & Paindaveine, Davy, 2005. "Affine-invariant aligned rank tests for the multivariate general linear model with VARMA errors," Journal of Multivariate Analysis, Elsevier, vol. 93(1), pages 122-163, March.
- Hallin, M. & Puri, M. L., 1994.
"Aligned Rank Tests for Linear Models with Autocorrelated Error Terms,"
Journal of Multivariate Analysis,
Elsevier, vol. 50(2), pages 175-237, August.
- Hallin, M. & Puri, L.M., 1992. "Aligned Rank tests for Linear Models with Autocorrelated Error Terms," Papers 9202, Universite Libre de Bruxelles - C.E.M.E..
When requesting a correction, please mention this item's handle: RePEc:eee:jmvana:v:97:y:2006:i:10:p:2206-2220. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu)
If references are entirely missing, you can add them using this form.