Standard Article

Ranks

Statistical Theory and Methods

  1. Marc Hallin1,2

Published Online: 15 JAN 2013

DOI: 10.1002/9780470057339.var016.pub2

Encyclopedia of Environmetrics

Encyclopedia of Environmetrics

How to Cite

Hallin, M. 2013. Ranks . Encyclopedia of Environmetrics. 5.

Author Information

  1. 1

    ECARES, Université Libre de Bruxelles, Brussels, Belgium

  2. 2

    ORFE, Princeton University, Princeton, NJ, USA

Publication History

  1. Published Online: 15 JAN 2013

Abstract

Rank tests were introduced as a reaction against the traditional assumption of Gaussian observations. The most attractive feature of ranks and rank statistics is that they are distribution-free, and thus, in principle, allow for exact critical values, irrespective of the underlying distribution of the observation. Their domain of application is, mainly but not exclusively, the class of semiparametric models obtained from the traditional parametric ones (location, scale, regression, autoregression, etc.) by treating the density of the underlying error or noise as an unspecified nuisance. Their popularity is explained by their success in a variety of practical situations, and their robustness against deviations from standard distributional assumptions.