Multivariate tests of independence
Multivariate extensions of the quadrant test by Blomqvist (1950) and Kendall’s tau and Spearman’s rho statistics are discussed. Asymptotic theory is given to approximate the null distributions as well as to calculate limiting Pitman efficiencies. The tests are compared to the classical Wilks’ (Wilks, 1935) test.
KeywordsCanonical Correlation Multivariate Normal Distribution Multivariate Test Spatial Sign Noncentrality Parameter
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