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Article Dans Une Revue Mathematical Methods of Statistics Année : 2017

The Mann-Whitney U-statistic for α-dependent sequences

Résumé

We give the asymptotic behavior of the Mann-Whitney U-statistic for two independent stationary sequences. The result applies to a large class of short-range dependent sequences, including many non-mixing processes in the sense of Rosenblatt. We also give some partial results in the long-range dependent case, and we investigate other related questions. Based on the theoretical results, we propose some simple corrections of the usual tests for stochastic domination; next we simulate different (non-mixing) stationary processes to see that the corrected tests perform well.
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Dates et versions

hal-01400162 , version 1 (21-11-2016)

Identifiants

Citer

Jérôme Dedecker, Guillaume Saulière. The Mann-Whitney U-statistic for α-dependent sequences. Mathematical Methods of Statistics, 2017, 26 (2), pp.111-133. ⟨10.3103/S1066530717020028⟩. ⟨hal-01400162⟩
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