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

Abstract : 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.
Type de document :
Pré-publication, Document de travail
MAP5 2016-32. 2016
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https://hal.archives-ouvertes.fr/hal-01400162
Contributeur : Jérôme Dedecker <>
Soumis le : lundi 21 novembre 2016 - 15:02:06
Dernière modification le : mercredi 23 novembre 2016 - 01:05:10
Document(s) archivé(s) le : mardi 21 mars 2017 - 00:19:52

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Mann3.pdf
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  • HAL Id : hal-01400162, version 1
  • ARXIV : 1611.06828

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Jérôme Dedecker, Guillaume Saulière. The Mann-Whitney U-statistic for α-dependent sequences. MAP5 2016-32. 2016. <hal-01400162>

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