Testing independence in high dimensions

Georg R. Heer

Statistics & Probability Letters, 1991, vol. 12, issue 1, 73-81

Abstract: This paper presents a quick test of independence against a high-dimensional alternative. The test is based on kernel density estimators evaluated at random points and remains uniformly asymptotically unbiased even if the dimension of the alternative tends to infinity.

Keywords: Test; of; independence; kernel; density; estimator; orthogonal; series; expansion; increasing; dimension; nonparametric; test (search for similar items in EconPapers)
Date: 1991
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Citations: View citations in EconPapers (2)

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