A new method of testing mutual independence

Xiangyu Guo and Fukang Zhu

Communications in Statistics - Theory and Methods, 2024, vol. 53, issue 17, 6102-6115

Abstract: Testing independence between two or more random variables or random vectors receives a lot of attention in the literature. A new test statistic is proposed based on the consistency of the sample distance multivariance to test mutual independence. The bootstrap method is used to obtain the critical value of the test statistic. The simulation results show that our method performs well in the low-dimensional and large-sample cases and gives reasonable results in some cases where other tests do not work. Three real examples are analyzed to show the usefulness of the new test statistic.

Date: 2024
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DOI: 10.1080/03610926.2023.2239402

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