The Mann-Whitney U-statistic for $\alpha$-dependent sequences
Statistics Theory
2016-11-22 v1 Statistics Theory
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.
Cite
@article{arxiv.1611.06828,
title = {The Mann-Whitney U-statistic for $\alpha$-dependent sequences},
author = {Jérôme Dedecker and Guillaume Saulière},
journal= {arXiv preprint arXiv:1611.06828},
year = {2016}
}