Robust test for independence in high dimensions

Guangyu Mao

Communications in Statistics - Theory and Methods, 2017, vol. 46, issue 20, 10036-10050

Abstract: This article develops a new test based on Spearman’s rank correlation coefficients for total independence in high dimensions. The test is robust to the non normality and heavy tails of the data, which is a merit that is not shared by the existing tests in literature. Simulation results suggest that the new test performs well under several typical null and alternative hypotheses. Besides, we employ a real data set to illustrate the use of the new test.

Date: 2017
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Citations: View citations in EconPapers (4)

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DOI: 10.1080/03610926.2016.1228965

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