多元一致性检验与Pitman渐近相对效率

Testing of Multivariate Concordance and Pitman Asymptotic Relative Efficiency

  • 摘要: 对多个变量的一致性进行度量是实际应用中常遇到的问题.在二元情况下,已经有一些比较成熟的一致性度量方法,例如Spearman’s rho秩相关系数、Kendall’s tau秩相关系数和Blomqvist’s beta系数等.在多元情况下,现有的一致性度量的方法大多是基于两两平均的想法建立的,比如平均Spearman’s rho秩相关系数、平均Kendall’s tau秩相关系数等.这些一致性度量方法主要衡量任意两个变量之间的一致性,并未用到多维变量的整体特征,而且还存在负一致性无法解释的问题.本文基于多元随机变量的整体结构,提出了一种新的一致性度量方法,并对相关统计量的性质进行了研究.在此基础上,本文还提出了一种多元随机变量一致性的非参数检验方法.在多元正态分布和多元均匀分布场合,和Deng1提出的方法相比,本文给出的一致性检验方法在Pitman渐近相对效率上更优.

     

    Abstract: Measuring the concordance among multiple variables is a frequent challenge in practical applications. Several well-established methods for measuring concordance exist for the binary case, such as Spearman’s rank correlation coefficient, Kendall’s rank correlation coefficient, and Blomqvist’s beta coefficient. In the multivariate case, most existing measures are based on pairwise averages, such as the average Spearman’s rank correlation coefficient and the average Kendall’s tau rank correlation coefficient. These measures of concordance primarily assess pairwise concordance and do not capture the overall characteristics of multiple variables, leading to issues with unexplained negative concordance. This paper introduces a new measure of concordance based on the overall structure of multiple variables. It also investigates the properties of relevant statistics. Based on this, a non-parametric test method for the concordance of multivariate data is proposed. Simulation results indicate that, in terms of Pitman asymptotic relative efficiency, the proposed test method outperforms that of Deng 1.

     

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