 Kernel‐based tests for joint independenceNiklas Pfister, Peter Bühlmann, Bernhard Schölkopf and Jonas Peters Journal of the Royal Statistical Society Series B, 2018, vol. 80, issue 1, 5-31 Abstract: We investigate the problem of testing whether d possibly multivariate random variables, which may or may not be continuous, are jointly (or mutually) independent. Our method builds on ideas of the two‐variable Hilbert–Schmidt independence criterion but allows for an arbitrary number of variables. We embed the joint distribution and the product of the marginals in a reproducing kernel Hilbert space and define the d‐variable Hilbert–Schmidt independence criterion dHSIC as the squared distance between the embeddings. In the population case, the value of dHSIC is 0 if and only if the d variables are jointly independent, as long as the kernel is characteristic. On the basis of an empirical estimate of dHSIC, we investigate three non‐parametric hypothesis tests: a permutation test, a bootstrap analogue and a procedure based on a gamma approximation. We apply non‐parametric independence testing to a problem in causal discovery and illustrate the new methods on simulated and real data sets. Date: 2018 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:bla:jorssb:v:80:y:2018:i:1:p:5-31 Ordering information: This journal article can be ordered from Access Statistics for this article Journal of the Royal Statistical Society Series B is currently edited by P. Fryzlewicz and I. Van Keilegom More articles in Journal of the Royal Statistical Society Series B from Royal Statistical Society Contact information at EDIRC. |
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