## Abstract

Nonparametric procedures for testing and estimation of the shape matrix in the case of multivariate elliptic distribution are considered. Testing for sphericity is an important special case. The tests and estimates are based on the spatial sign and rank covariance matrices. The estimates based on the spatial sign covariance matrix and symmetrized spatial sign covariance matrix are Tyler's [A distribution-free M-estimator of multivariate scatter, Ann. Statist. 15 (1987), pp. 234-251] shape matrix and and Dumbgen's [On Tyler's M-functional of scatter in high dimension, Ann. Inst. Statist. Math. 50 (1998), pp. 471-491] shape matrix, respectively. The test based on the spatial sign covariance matrix is the sign test statistic in the class of nonparametric tests proposed by Hallin and Paindaveine [Semiparametrically efficient rank-based inference for shape. I. Optimal rank-based tests for sphericity, Ann. Statist. 34 (2006), pp. 2707-2756]. New tests and estimates based on the spatial rank covariance matrix are proposed. The shape estimates introduced in the paper play an important role in the inner standardisation of the spatial sign and rank tests for multivariate location. Limiting distributions of the tests and estimates are reviewed and derived, and asymptotic efficiencies as well as finite-sample efficiencies of the proposed tests are compared with those of the classical modified John's [Some optimal multivariate tests, Biometrika 58 (1971), pp. 123-127; The distribution of a statistic used for testing sphericity of normal distributions, Biometrika 59 (1972), pp. 169-173] test and the van der Waerden test (Hallin and Paindaveine, [Semiparametrically efficient rank-based inference for shape. I. Optimal rank-based tests for sphericity, Ann. Statist. 34 (2006), pp. 2707-2756]). The symmetrised spatial sign- and rank-based estimates and tests seem to have a very high efficiency in the multivariate normal case, and they are much better than the classical estimate (shape matrix based on the regular covariance matrix) and test (John's test) for distributions with heavy tails.

Original language | English (US) |
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Pages (from-to) | 155-176 |

Number of pages | 22 |

Journal | Journal of Nonparametric Statistics |

Volume | 21 |

Issue number | 2 |

DOIs | |

State | Published - Feb 1 2009 |

## All Science Journal Classification (ASJC) codes

- Statistics and Probability
- Statistics, Probability and Uncertainty

## Keywords

- Affine invariance
- Pitman efficiency
- Robustness
- Spatial rank
- Spatial sign
- Spatial signed-rank