Central Limit Theorem for Wilcoxon Rank Statistics Process
Jureckova, Jana
Ann. Statist., Tome 1 (1973) no. 2, p. 1046-1060 / Harvested from Project Euclid
The rank statistics $S_{\Delta N} = N^{-1} \sum^N_{i=1} c_{Ni} R^\Delta_{Ni}$, with $R^Delta_{Ni}$ being the rank of $X_{Ni} + \Delta d_{Ni}, i = 1, 2, \cdots, N$ and $X_{N1}, \cdots, X_{NN}$ being the random sample from the basic distribution with density function $f$, are considered as a random process with $\Delta$ in the role of parameter. Under some assumptions on $C_{Ni}$'s, $d_{Ni}$'s and on the underlying distribution, it is proved that the process $\{S_{\Delta N} - S_{0N} - ES_{\Delta N}; 0 \leqq \Delta \leqq 1\}$, being properly standardized, converges weakly to the Gaussian process with covariances proportional to the product of parameter values. Under additional assumptions, $\Delta b_N$ can be written instead of $ES_{\Delta N}$, where $b_N = \sum^N_{i=1} C_{Ni}d_{Ni}\int f^2(x) dx$. As an application, this result yields the asymptotic normality of the standardized form of the length of a confidence interval for regression coefficient based on statistic $S_{\Delta N}$.
Publié le : 1973-11-14
Classification:  Nonparametrics,  Wilcoxon rank test statistic against regression alternatives,  asymptotic behavior of rank test statistics as a function of regression parameter,  asymptotic distribution of nonparametric estimate of regression coefficient,  space $D\lbrack 0,1\rbrack$ of right-continuous functions
@article{1176342556,
     author = {Jureckova, Jana},
     title = {Central Limit Theorem for Wilcoxon Rank Statistics Process},
     journal = {Ann. Statist.},
     volume = {1},
     number = {2},
     year = {1973},
     pages = { 1046-1060},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176342556}
}
Jureckova, Jana. Central Limit Theorem for Wilcoxon Rank Statistics Process. Ann. Statist., Tome 1 (1973) no. 2, pp.  1046-1060. http://gdmltest.u-ga.fr/item/1176342556/