On the multivariate runs test
Henze, Norbert ; Penrose, Mathew D.
Ann. Statist., Tome 27 (1999) no. 4, p. 290-298 / Harvested from Project Euclid
For independent $d$-variate random variables $X_1,\dots,X_m$ with common density $f$ and $Y_1,\dots,Y_n$ with common density $g$, let $R_{m,n}$ be the number of edges in the minimal spanning tree with vertices $X_1,\dots,X_m$, $Y_1,\dots,Y_n$ that connect points from different samples. Friedman and Rafsky conjectured that a test of $H_0: f = g$ that rejects $H_0$ for small values of $R_{m,n}$ should have power against general alternatives. We prove that $R_{m,n}$ is asymptotically distribution-free under $H_0$ , and that the multivariate two-sample test based on $R_{m,n}$ is universally consistent.
Publié le : 1999-03-14
Classification:  Multivariate two-sample problem,  minimal spanning tree,  multivariate runs test,  homogeneous Poisson process,  62H15,  62G10,  60F05,  60F15
@article{1018031112,
     author = {Henze, Norbert and Penrose, Mathew D.},
     title = {On the multivariate runs test},
     journal = {Ann. Statist.},
     volume = {27},
     number = {4},
     year = {1999},
     pages = { 290-298},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1018031112}
}
Henze, Norbert; Penrose, Mathew D. On the multivariate runs test. Ann. Statist., Tome 27 (1999) no. 4, pp.  290-298. http://gdmltest.u-ga.fr/item/1018031112/