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Large deviation approximations for the Mann-Whitney statistic and the Jonckheere-Terpstra statistic

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  • Cyrille Joutard

Abstract

We establish strong large deviation results for the Mann-Whitney statistic and the Jonckheere-Terpstra statistic, that is, asymptotic expansions of large deviation type for the tail probabilities. We then carry out some numerical comparisons with the exact upper tail probabilities for the Wilcoxon-Mann-Whitney test and the Jonckheere-Terpstra test.

Suggested Citation

  • Cyrille Joutard, 2013. "Large deviation approximations for the Mann-Whitney statistic and the Jonckheere-Terpstra statistic," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 25(4), pages 873-888, December.
    • Handle: RePEc:taf:gnstxx:v:25:y:2013:i:4:p:873-888
    DOI: 10.1080/10485252.2013.816701
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    1. Froda, Sorana & van Eeden, Constance, 2001. "A uniform bound on the characteristic function of the exponentially tilted null-distribution of a simple linear rank statistic and its rate of convergence," Statistics & Probability Letters, Elsevier, vol. 54(1), pages 107-112, August.
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    1. Joutard, Cyrille, 2014. "Asymptotic approximation for the probability density function of an arbitrary sequence of random variables," Statistics & Probability Letters, Elsevier, vol. 90(C), pages 100-107.

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