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Multivariate extensions of the Anderson-Darling process

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  • Pycke, Jean-Renaud

Abstract

We give the explicit Karhunen-Loeve expansion of a family of centered Gaussian processes including the Anderson-Darling process. An application is provided through the description of a Cramer-von Mises type test of independence.

Suggested Citation

  • Pycke, Jean-Renaud, 2003. "Multivariate extensions of the Anderson-Darling process," Statistics & Probability Letters, Elsevier, vol. 63(4), pages 387-399, July.
    • Handle: RePEc:eee:stapro:v:63:y:2003:i:4:p:387-399
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    References listed on IDEAS

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    1. Deheuvels, Paul, 1981. "An asymptotic decomposition for multivariate distribution-free tests of independence," Journal of Multivariate Analysis, Elsevier, vol. 11(1), pages 102-113, March.
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    Cited by:

    1. Chiragiev, Arthur & Landsman, Zinoviy, 2009. "Multivariate flexible Pareto model: Dependency structure, properties and characterizations," Statistics & Probability Letters, Elsevier, vol. 79(16), pages 1733-1743, August.
    2. Pycke, J.-R., 2007. "U-statistics based on the Green's function of the Laplacian on the circle and the sphere," Statistics & Probability Letters, Elsevier, vol. 77(9), pages 863-872, May.

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