Recently, the possibility of testing statistical hypotheses through the estimate of the reproducibility probability (i.e. the estimate of the power of the statistical test) in a general parametric framework has been introduced. In this paper, we provide some results on the stochastic orderings of the Wilcoxon Rank Sum (WRS) statistic, implying, for example, that the related test is strictly unbiased. Moreover, under some regularity conditions, we show that it is possible to define a continuous and strictly monotone power function of the WRS test. This last result is useful in order to obtain a point estimator and lower bounds for the power of the WRS test. In analogy with the parametric setting, we show that these power estimators, alias reproducibility probability estimators, can be used as test statistic, i.e. it is possible to refer directly to the estimate of the reproducibility probability to perform the WRS test. Some reproducibility probability estimators based on asymptotic approximations of the power are provided. A brief simulation shows a very high agreement between the approximated reproducibility probability based tests and the classical one.
This article reviews the nonparametric serial independence tests based on measures of divergence between densities. Among others, the well-known Kullback-Leibler, Hellinger and Tsallis divergences are analyzed. Moreover, the copulabased version of the considered divergence functionals is defined and taken into account. In order to implement serial independence tests based on these divergence functionals, it is necessary to choose a density estimation technique, a way to compute p-values and other settings. Via a wide simulation study, the performance of the serial independence tests arising from the adoption of the divergence functionals with different implementation is compared. Both single-lag and multiple-lag test procedures are investigated in order to find the best solutions in terms of size and power.
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