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Semiparametrically efficient inference based on signed ranks in symmetric independent component models

Abstract

We consider semiparametric location-scatter models for which the pp-variate observation is obtained as X=ΛZ+μX=\Lambda Z+\mu, where μ\mu is a pp-vector, Λ\Lambda is a full-rank p×pp\times p matrix and the (unobserved) random pp-vector ZZ has marginals that are centered and mutually independent but are otherwise unspecified. As in blind source separation and independent component analysis (ICA), the parameter of interest throughout the paper is Λ\Lambda. On the basis of nn i.i.d. copies of XX, we develop, under a symmetry assumption on ZZ, signed-rank one-sample testing and estimation procedures for Λ\Lambda. We exploit the uniform local and asymptotic normality (ULAN) of the model to define signed-rank procedures that are semiparametrically efficient under correctly specified densities. Yet, as is usual in rank-based inference, the proposed procedures remain valid (correct asymptotic size under the null, for hypothesis testing, and root-nn consistency, for point estimation) under a very broad range of densities. We derive the asymptotic properties of the proposed procedures and investigate their finite-sample behavior through simulations.

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