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A Test for Multivariate Location Parameter in Elliptical Model Based on Forward Search Method

Author

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  • Chitradipa Chakraborty

    (IIT Kanpur)

  • Subhra Sankar Dhar

    (IIT Kanpur)

Abstract

In this article, we develop a test for multivariate location parameter in elliptical model based on the forward search estimator for a specified scatter matrix. Here, we study the asymptotic power of the test under contiguous alternatives based on the asymptotic distribution of the test statistics under such alternatives. Moreover, the performances of the test have been carried out for different simulated data and real data, and compared the performances with more classical ones.

Suggested Citation

  • Chitradipa Chakraborty & Subhra Sankar Dhar, 2020. "A Test for Multivariate Location Parameter in Elliptical Model Based on Forward Search Method," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 82(1), pages 68-95, February.
    • Handle: RePEc:spr:sankha:v:82:y:2020:i:1:d:10.1007_s13171-018-0149-3
    DOI: 10.1007/s13171-018-0149-3
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    References listed on IDEAS

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    1. Babu, G. Jogesh & Rao, C. Radhakrishna, 1988. "Joint asymptotic distribution of marginal quantiles and quantile functions in samples from a multivariate population," Journal of Multivariate Analysis, Elsevier, vol. 27(1), pages 15-23, October.
    2. Cerioli, Andrea & Farcomeni, Alessio & Riani, Marco, 2014. "Strong consistency and robustness of the Forward Search estimator of multivariate location and scatter," Journal of Multivariate Analysis, Elsevier, vol. 126(C), pages 167-183.
    3. Bent Nielsen & Soren Johansen, 2010. "Discussion of The Forward Search: Theory and Data Analysis," Economics Series Working Papers 2010-W02, University of Oxford, Department of Economics.
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