A consistent multivariate test of association based on ranks of distances

Ruth Heller, Yair Heller and Malka Gorfine

Biometrika, 2013, vol. 100, issue 2, 503-510

Abstract: We consider the problem of detecting associations between random vectors of any dimension. Few tests of independence exist that are consistent against all dependent alternatives. We propose a powerful test that is applicable in all dimensions and consistent against all alternatives. The test has a simple form, is easy to implement, and has good power. Copyright 2013, Oxford University Press.

Date: 2013
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