A Bahadur efficiency comparison between one and two sample rank statistics and their sequential rank statistic analogues

Abstract

One and two sample rank statistics are shown in general to be more efficient in the Bahadur sense than their sequential rank statistic analogues as defined by Mason (1981, Ann. Statist. 9 424–436) and Lombard (1981, South African Statist. J. 15 129–152), even though the two families of statistics (those based on full ranks and those based on sequential ranks) have the same Pitman efficiency against local alternatives. In the process, general results on large deviation probabilities and laws of large numbers for statistics based on sequential ranks are obtained.