Permutation Testing for Monotone Trend
Fuente:
arXiv
Salvato in:
| Autori principali: | , |
|---|---|
| Natura: | Preprint |
| Pubblicazione: |
2024
|
| Soggetti: | |
| Accesso online: | |
| Tags: |
Aggiungi Tag
Nessun Tag, puoi essere il primo ad aggiungerne!!
|
| _version_ | 1866914747598766080 |
|---|---|
| author | Romano, Joseph P. Tirlea, Marius A. |
| author_facet | Romano, Joseph P. Tirlea, Marius A. |
| contents | In this paper, we consider the fundamental problem of testing for monotone trend in a time series. While the term "trend" is commonly used and has an intuitive meaning, it is first crucial to specify its exact meaning in a hypothesis testing context. A commonly used well-known test is the Mann-Kendall test, which we show does not offer Type 1 error control even in large samples. On the other hand, by an appropriate studentization of the Mann-Kendall statistic, we construct permutation tests that offer asymptotic error control quite generally, but retain the exactness property of permutation tests for i.i.d. observations. We also introduce "local" Mann-Kendall statistics as a means of testing for local rather than global trend in a time series. Similar properties of permutation tests are obtained for these tests as well. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2404_06239 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Permutation Testing for Monotone Trend Romano, Joseph P. Tirlea, Marius A. Statistics Theory Methodology 62G10 In this paper, we consider the fundamental problem of testing for monotone trend in a time series. While the term "trend" is commonly used and has an intuitive meaning, it is first crucial to specify its exact meaning in a hypothesis testing context. A commonly used well-known test is the Mann-Kendall test, which we show does not offer Type 1 error control even in large samples. On the other hand, by an appropriate studentization of the Mann-Kendall statistic, we construct permutation tests that offer asymptotic error control quite generally, but retain the exactness property of permutation tests for i.i.d. observations. We also introduce "local" Mann-Kendall statistics as a means of testing for local rather than global trend in a time series. Similar properties of permutation tests are obtained for these tests as well. |
| title | Permutation Testing for Monotone Trend |
| topic | Statistics Theory Methodology 62G10 |
| url | https://arxiv.org/abs/2404.06239 |