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On the limiting Pitman efficiency of some rank tests of independence

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  • Ledwina, Teresa

Abstract

The limiting (as the significance level approaches 0) Pitman efficiency of a new "regression-based" rank test of independence to Kendall's tau and Spearman's rho is derived. The result is based on a version of [17], Ann. Statist.4 1003-1011) on coincidence of the limiting Pitman efficiency and the local (as the alternative approaches the hypothesis) approximate Bahadur efficiency. [7], Trans. Amer. Math. Soc.87, 173-186) result is applied to verify the main assumption of Wieand's paper. This approach is shown to be useful in some other situations, also.

Suggested Citation

  • Ledwina, Teresa, 1986. "On the limiting Pitman efficiency of some rank tests of independence," Journal of Multivariate Analysis, Elsevier, vol. 20(2), pages 265-271, December.
    • Handle: RePEc:eee:jmvana:v:20:y:1986:i:2:p:265-271
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    Cited by:

    1. A.I. Nazarov & Ya.Yu. Nikitin, 2000. "Some extremal problems for Gaussian and Empirical random fields," ICER Working Papers 22-2000, ICER - International Centre for Economic Research.

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