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.
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https://hal.archives-ouvertes.fr/hal-01400162
Contributor : Jérôme Dedecker <>
Submitted on : Monday, November 21, 2016 - 3:02:06 PM
Last modification on : Thursday, April 11, 2019 - 4:02:55 PM
Document(s) archivé(s) le : Tuesday, March 21, 2017 - 12:19:52 AM

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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. 2016. ⟨hal-01400162⟩

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