Asymptotic Pitman efficiencies of multivariate spatial sign and rank methods are considered in the one-sample location case. Limiting distributions of the spatial sign and signed-rank tests under the null hypothesis as well as under contiguous sequences of alternatives are given. Formulae for asymptotic relative efficiencies are found and, under multivariate t distributions, relative efficiencies with respect to Hotelling's T² test are calculated.
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Möttönen et al. (1997) studied this question.
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