B1036
Title: Multivariate sign tests for sphericity: Dealing with skewness and dependent observations
Authors: Gaspard Bernard - University of Luxembourg (Luxembourg) [presenting]
Abstract: The problem of testing for the sphericity of a shape parameter is considered when the sample is drawn from a distribution with elliptical directions. The setting, introduced in a past study, encompasses both cases where some skewness is present and cases where the i.i.d. hypothesis does not hold anymore. In the elliptical directions setting, the existing sphericity test based on the multivariate signs of the observations is valid if the location parameter specified when constructing the multivariate signs is assumed. In practice, the location parameter needs to be estimated and the asymptotic validity of the test will depend on the asymptotic cost of this estimation. The asymptotic cost is studied, for the estimator of the location parameter proposed in a prior study.
