Abstract
Lehmann and Stein (1949) and Hoeffding (1951b) pioneered the development of an optimal theory for nonparametric tests, parallel to that of Neyman and Pearson (1933) and Wald (1949) for parametric testing. They considered nonparametric hypotheses that are invariant under permutations of the variables in multi-sample problems so that rank statistics are the maximal invariants, and extended the Neyman-Pearson and Wald theories for independent observations to the joint density function of the maximal invariants. Terry (1952) and others subsequently implemented and refined Hoeffding’s approach to show that a number of rank tests are locally most powerful at certain alternatives near the null hypothesis. We shall first consider Hoeffding’s change of measure formula and derive some consequences with respect to the two-sample problem. This formula assumes knowledge of the underlying distribution of the random variables and leads to an optimal choice of score functions and subsequently to locally most powerful tests. Hence, for any given underlying distributions, we may obtain the optimal test statistic.
This is a preview of subscription content, log in via an institution.
Buying options
Tax calculation will be finalised at checkout
Purchases are for personal use only
Learn about institutional subscriptionsNotes
- 1.
Lehmann & Stein considered the case for two samples and Hoeffding for multi-samples.
- 2.
See also Royston (1982) who provides the approximation \(E\left [X_{\left (i\right )}\right ] =\mu +\sigma \varPhi ^{-1}\left ( \frac{i} {m+1}\right )\left [1 + \frac{\left ( \frac{i}{m+1} \right )\left (1- \frac{i}{m+1} \right )} {2\left (m+2\right )\left [\phi \left [\varPhi ^{-1} \frac{i} {m+1} \right ]\right ]^{2}} \right ]\).
References
Alvo, M. and Cabilio, P. (1991). On the balanced incomplete block design for rankings. The Annals of Statistics, 19:1597–1613.
Alvo, M. and Cabilio, P. (1999). A general rank based approach to the analysis of block data. Communications in Statistics: Theory and Methods, 28:197–215.
Alvo, M. and Cabilio, P. (2005). General scores statistics on ranks in the analysis of unbalanced designs. The Canadian Journal of Statistics, 33:115–129.
Hájek, J. and Sidak, Z. (1967). Theory of Rank Tests. Academic Press, New York.
Hoeffding, W. (1951b). Optimum non-parametric tests. In Proceedings of the Second Berkeley Symposium on Mathematical Statistics and Probability, pages 83–92, Berkeley, Calif. University of California Press.
Kalbfleisch, J. (1978). Likelihood methods and nonparametric tests. Journal of the American Statistical Association, 73:167–170.
Lehmann, E. and Stein, C. (1949). On the theory of some non-parametric hypotheses. Ann. Math. Statist., 20(1):28–45.
Neyman, J. and Pearson, E. (1933). On the problem of the most efficient tests of statistical hypotheses. Philo. Trans. Roy. Soc. A, 231:289–337.
Royston, I. (1982). Expected normal order statistics (exact and approximate). Journal of the Royal Statistical Society Series C, 31(2):161–165. Algorithm AS 177.
Sen, P. (1968a). Asymptotically efficient tests by the method of n rankings. Journal of the Royal Statistical Society Series B, 30:312–317.
Sen, P. (1968b). Asymptotically efficient tests by the method of n rankings. Journal of the Royal Statistical Society Series B, 30:312–317.
Terry, M. (1952). Some rank order tests which are most powerful against specific parametric alternatives. Ann. Math. Statist., 23(3):346–366.
Wald, A. (1949). Statistical decision functions. Ann. Math. Statist., 22(2):165–205.
Author information
Authors and Affiliations
Rights and permissions
Copyright information
© 2018 Springer Nature Switzerland AG
About this chapter
Cite this chapter
Alvo, M., Yu, P.L.H. (2018). Optimal Rank Tests. In: A Parametric Approach to Nonparametric Statistics. Springer Series in the Data Sciences. Springer, Cham. https://doi.org/10.1007/978-3-319-94153-0_8
Download citation
DOI: https://doi.org/10.1007/978-3-319-94153-0_8
Published:
Publisher Name: Springer, Cham
Print ISBN: 978-3-319-94152-3
Online ISBN: 978-3-319-94153-0
eBook Packages: Mathematics and StatisticsMathematics and Statistics (R0)