A serial version of Hodges and Lehmann’s “6/π result”

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dc.contributor.authorHallin, Marc
dc.contributor.authorSwan, Yvic
dc.contributor.authorVerdebout, Thomas
dc.date.accessioned2013-04-08T13:32:10Z
dc.date.available2013-04-08T13:32:10Z
dc.date.issued2013-04-08
dc.description.abstractWhile the asymptotic relative efficiency (ARE) of Wilcoxon rank-based tests for location and regression with respect to their parametric Student competitors can be arbitrarily large, Hodges and Lehmann (1961) have shown that the ARE of the same Wilcoxon tests with respect to their van der Waerden or normal-score counterparts is bounded from above by 6/pi ≈ 1.910, and that this bound is sharp. We extend this result to the serial case, showing that, when testing against linear (ARMA) serial dependence, the ARE of the Spearman-Wald-Wolfowitz and Kendall rank-based autocorrelations with respect to the van der Waerden or normal-score ones admits a sharp upper bound of (6/pi)2 ≈ 3.648.en
dc.identifier.urihttp://hdl.handle.net/2003/30134
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-10454
dc.language.isoende
dc.relation.ispartofseriesDiscussion Paper / SFB 823;11/2013
dc.subjectasymptotic relative efficiencyen
dc.subjectKendall autocorrelationsen
dc.subjectlinear serial rank statisticsen
dc.subjectrank-based testsen
dc.subjectSpearman autocorrelationsen
dc.subjectvan der Waerden testen
dc.subjectWilcoxon testen
dc.subject.ddc310
dc.subject.ddc330
dc.subject.ddc620
dc.titleA serial version of Hodges and Lehmann’s “6/π result”en
dc.typeTextde
dc.type.publicationtypeworkingPaperde
dcterms.accessRightsopen access

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