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Fully Distribution-free Center-outward Rank Tests for Multiple-output Regression and Manova

Author

Listed:
  • Marc Hallin
  • Daniel Hlubinka
  • Sarka Hudecova

Abstract

Extending rank-based inference to a multivariate setting such as multiple-output regression or MANOVA with unspecified d-dimensional error density has remained an open problem for more than half a century. None of the many solutions proposed so far is enjoying the combination of distribution-freeness and efficiency that makes rank-based inference a successful tool in the univariate setting. A concept of center-outward multivariate ranks and signs based on measure transportation ideas has been introduced recently. Center-outward ranks and signs are not only distribution-free but achieve in dimension d > 1 the (essential) maximal ancillarity property of traditional univariate ranks, hence carry all the “distribution-free information" available in the sample. We derive here the Hájek representation and asymptotic normality results required in the construction of center-outward rank tests for multiple-output regression and MANOVA. When based on appropriate spherical scores, these fully distribution-free tests achieve parametric efficiency in the corresponding models.

Suggested Citation

  • Marc Hallin & Daniel Hlubinka & Sarka Hudecova, 2020. "Fully Distribution-free Center-outward Rank Tests for Multiple-output Regression and Manova," Working Papers ECARES 2020-32, ULB -- Universite Libre de Bruxelles.
  • Handle: RePEc:eca:wpaper:2013/310014
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    References listed on IDEAS

    as
    1. Victor Chernozhukov & Alfred Galichon & Marc Hallin & Marc Henry, 2014. "Monge-Kantorovich Depth, Quantiles, Ranks, and Signs," Papers 1412.8434, arXiv.org, revised Sep 2015.
    2. Beirlant, J. & Buitendag, S. & del Barrio, E. & Hallin, M. & Kamper, F., 2020. "Center-outward quantiles and the measurement of multivariate risk," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 79-100.
    3. de Valk, Cees Fouad & Segers, Johan, 2018. "Stability and tail limits of transport-based quantile contours," LIDAM Discussion Papers ISBA 2018031, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
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    Cited by:

    1. del Barrio, Eustasio & González-Sanz, Alberto & Hallin, Marc, 2020. "A note on the regularity of optimal-transport-based center-outward distribution and quantile functions," Journal of Multivariate Analysis, Elsevier, vol. 180(C).

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    More about this item

    Keywords

    Multivariate ranks; Multivariate signs; Multiple output regression; MANOVA; MANOVA; Rank test; Hájek representation;
    All these keywords.

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