One- and two-sample nonparametric tests for the signal-to-noise ratio based on record statistics - Archive ouverte HAL Accéder directement au contenu
Pré-Publication, Document De Travail Année : 2015

One- and two-sample nonparametric tests for the signal-to-noise ratio based on record statistics

Résumé

A new family of nonparametric statistics, the r-statistics, is introduced. It consists of counting the number of records of the cumulative sum of the sample. The single-sample r-statistic is almost as powerful as Student's t-statistic for Gaussian and uniformly distributed variables, and more powerful than the sign and Wilcoxon signed-rank statistics as long as the data are not too heavy-tailed. Three two-sample parametric r-statistics are proposed, one with a higher specificity but a smaller sensitivity than Mann-Whitney U-test and the other one a higher sensitivity but a smaller specificity. A nonparametric two-sample r-statistic is introduced, whose power is very close to that of Welch statistic for Gaussian or uniformly distributed variables.

Dates et versions

hal-01119106 , version 1 (20-02-2015)

Identifiants

Citer

Damien Challet. One- and two-sample nonparametric tests for the signal-to-noise ratio based on record statistics. 2015. ⟨hal-01119106⟩
90 Consultations
0 Téléchargements

Altmetric

Partager

Gmail Facebook X LinkedIn More