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Marc Hallin, ECARES and Université Libre de Bruxelles

05-11-2021

Fully Distribution-Free Center-Outward Rank Tests for Multiple-Output Regression and MANOVA
Based on arxiv:2007.15496, joint with Daniel Hlubinka and Šárka Hudecová

 

Abstract:


Extending rank-based inference to a multivariate setting such as multiple-output regression or MANOVA  with unspecified d-dimensional error density has remained an open problem for more than half a century. None of the many solutions proposed so far is enjoying the combination of distribution-freeness and efficiency that makes rank-based inference a successful tool in the univariate setting. A concept of center-outward multivariate ranks and signs based on measure transportation ideas has been introduced recently. Center-outward ranks and signs are not only distribution-free but achieve in dimension d>1 the (essential) maximal ancillarity property of traditional univariate ranks, hence carry all the "distribution-free information" available in the sample. We derive here the Hájek representation and asymptotic normality results required in the construction of center-outward rank tests for multiple-output regression and MANOVA. When based on appropriate spherical scores, these fully distribution-free tests achieve parametric efficiency in the corresponding models.