Efficient Testing and Estimation in Two Lehmann Alternatives to Symmetry-at-Zero Models

Tech Report Number
593

 

Abstract

We consider two variations on a Lehmann alternatives to symmetry-at-zero semiparametric model, with a real parameter θ quantifying skewness and a symmetric-at-0 distribution as a nuisance function. We show that a test of symmetry based on the signed logrank statistic (Hall [2011]) is asymptotically efficient in these models, derive its properties under local alternatives and present efficiency results relative to other signed-rank tests. We develop efficient estimation of the primary parameter in each model, using modelspecific estimates of the nuisance function, and provide a method for choosing between the two models. All inference methods proposed are based solely on the signed ranks of the absolute values of the observations, the invariantly sufficient statistic. A simulation study is summarized and an example presented. Extensions to regression modeling are envisaged.

 

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