Some correlation tests for vectors of large dimension

M. Rauf Ahmad and S. Ejaz Ahmed

Communications in Statistics - Theory and Methods, 2023, vol. 52, issue 7, 2144-2160

Abstract: For a random sample of n iid p-dimensional vectors, each partitioned into b sub-vectors of dimensions pi, i=1,…,b, tests for zero correlation of sub-vectors are presented when pi≫n and the distribution need not be normal. The test statistics are composed of U-statistics based estimators of the Frobenius norm measuring the distance between the null and alternative hypotheses. Asymptotic distributions of the tests are provided for n,pi→∞, with their finite-sample performance demonstrated through simulations. Some related tests are discussed. A real data application is also given.

Date: 2023
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DOI: 10.1080/03610926.2021.1945631

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