标题：Testing for positive expectation dependence
作者：Zhu, Xuehu; Guo, Xu; Lin, Lu; Zhu, Lixing
作者机构：[Zhu, Xuehu; Lin, Lu] Shandong Univ, Qilu Securities Inst Financial Studies, Jinan 250100, Peoples R China.; [Zhu, Xuehu; Guo, Xu; Zhu, Lixing] Hong 更多
通讯作者地址：[Zhu, LX]Hong Kong Baptist Univ, Dept Math, Fong Shu Chuen Lib Bldg 1208,Waterloo Rd 224, Kowloon Tong, Hong Kong, Peoples R China.
来源：ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS
关键词：Expectation dependence; Nonparametric Monte Carlo; Test of; Kolmogorov-Smirnov type
摘要：In this paper, hypothesis testing for positive first-degree and higher-degree expectation dependence is investigated. Some tests of Kolmogorov-Smirnov type are constructed, which are shown to control type I error well and to be consistent against global alternative hypothesis. Further, the tests can also detect local alternative hypotheses distinct from the null hypothesis at a rate as close to the square root of the sample size as possible, which is the fastest possible rate in hypothesis testing. A nonparametric Monte Carlo test procedure is applied to implement the new tests because both sampling and limiting null distributions are not tractable. Simulation studies and a real data analysis are carried out to illustrate the performances of the new tests.