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arXiv · 1611.06828

The Mann-Whitney U-statistic for $α$-dependent sequences

Jérôme Dedecker·Guillaume Saulière
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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.

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Jérôme Dedecker, Guillaume Saulière. 2016-11-21. The Mann-Whitney U-statistic for $α$-dependent sequences. https://arxiv.org/abs/1611.06828

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