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Local efficiency of a Cramér-von Mises test of independence |
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| Authors: | Christian Genest,Jean-Franç ois Quessy |
| Affiliation: | a Département de mathématiques et de statistique, Université Laval, Qué., Canada G1K 7P4 b Département de mathématiques et d’informatique, Université du Québec à Trois-Rivières, C. P. 500, Trois-Rivières, Qué., Canada G9A 5H7 c Service d’enseignement des méthodes quantitatives de gestion, HEC Montréal, 3000, chemin de la Côte-Sainte-Catherine, Montréal, Qué., Canada H3T 2A7 |
| Abstract: | Deheuvels proposed a rank test of independence based on a Cramér-von Mises functional of the empirical copula process. Using a general result on the asymptotic distribution of this process under sequences of contiguous alternatives, the local power curve of Deheuvels’ test is computed in the bivariate case and compared to that of competing procedures based on linear rank statistics. The Gil-Pelaez inversion formula is used to make additional comparisons in terms of a natural extension of Pitman's measure of asymptotic relative efficiency. |
| Keywords: | 62H15 62H10 62G10 62G20 62G30 |
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