Electronic Journal of Statistics

A study of the power and robustness of a new test for independence against contiguous alternatives

Subhra Sankar Dhar, Angelos Dassios, and Wicher Bergsma

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Abstract

Various association measures have been proposed in the literature that equal zero when the associated random variables are independent. However many measures, (e.g., Kendall’s tau), may equal zero even in the presence of an association between the random variables. In order to overcome this drawback, Bergsma and Dassios (2014) proposed a modification of Kendall’s tau, (denoted as $\tau^{*}$), which is non-negative and zero if and only if independence holds. In this article, we investigate the robustness properties and the asymptotic distributions of $\tau^{*}$ and some other well-known measures of association under null and contiguous alternatives. Based on these asymptotic distributions under contiguous alternatives, we study the asymptotic power of the test based on $\tau^{*}$ under contiguous alternatives and compare its performance with the performance of other well-known tests available in the literature.

Article information

Source
Electron. J. Statist., Volume 10, Number 1 (2016), 330-351.

Dates
Received: June 2015
First available in Project Euclid: 17 February 2016

Permanent link to this document
https://projecteuclid.org/euclid.ejs/1455715965

Digital Object Identifier
doi:10.1214/16-EJS1107

Mathematical Reviews number (MathSciNet)
MR3466185

Zentralblatt MATH identifier
1332.62167

Subjects
Primary: 62G35: Robustness 62G10: Hypothesis testing
Secondary: 62G20: Asymptotic properties

Keywords
Contiguous alternatives Distance covariance Kendall’s tau Pitman efficacy Robustness properties Test for independence

Citation

Dhar, Subhra Sankar; Dassios, Angelos; Bergsma, Wicher. A study of the power and robustness of a new test for independence against contiguous alternatives. Electron. J. Statist. 10 (2016), no. 1, 330--351. doi:10.1214/16-EJS1107. https://projecteuclid.org/euclid.ejs/1455715965


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