Advances and Applications in Statistics
Volume 19, Issue 1, Pages 1 - 19
(November 2010)
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A SIMULATION STUDY FOR SOME GRAPHIC-BASED MULTIVARIATE TWO SAMPLE TESTS
Weihua Zhou and Jin Wang
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Abstract: In order to compare two multivariate samples, we study a multivariate P-P plot which is constructed by indexing with the class of ellipsoids. This plot can be treated as a special case of the C-C plot in Polonik [13], but it is much easier to be implemented in practice. This plot can be effectively used to detect the departure between two distributions, especially for the location shift or dispersion change model. Furthermore, we propose two test statistics based on this P-P plot. Both of these test statistics are asymptotically distribution-free (under the null hypothesis), affine invariant and computationally easy. The simulation shows that they also have good power against several alternatives. Finally, the theory is illustrated with a real data example. |
Keywords and phrases: multivariate P-P plot, ellipsoids, two-sample problem, distribution- free, power. |
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