Rate-Optimality of Consistent Distribution-Free Tests of Independence Based on Center-Outward Ranks and Signs

Hongjian Shi, Marc Hallin, Mathias Drton and Fang Han

No 2020-23, Working Papers ECARES from ULB -- Universite Libre de Bruxelles

Abstract: Rank correlations have found many innovative applications in the last decade. In particular,suitable versions of rank correlations have been used for consistent tests of independence between pairs of random variables. The use of ranks is especially appealing for continuous data as tests become distribution-free. However, the traditional concept of ranks relies on ordering data and is, thus, tied to univariate observations. As a result it has long remained unclear how one may construct distribution-free yet consistent tests of independence between multivariate random vectors. This is the problem we address in this paper, in which we lay out a general framework for designing dependence measures that give tests of multivariate independence that are not only consistent and distribution-free but which we also prove to be statistically efficient. Our framework leverages the recently introduced concept of center-outward ranks and signs, a multivariate generalization of traditional ranks, and adopts a common standard form for dependence measures that encompasses many popular measures from the literature. In a unified study, we derive a general asymptotic representation of center-outward test statistics under independence, extending to the multivariate setting the classical Hájek asymptotic representation results. This representation permits a direct calculation of limiting null distributions for the proposed test statistics. Moreover, it facilitates a local power analysis that provides strong support for the center-outward approach to multivariate ranks by establishing, for the first time, the rate-optimality of center-outward tests within families of Konijn alternatives.

Keywords: Multivariate ranks and signs; Le Cam’s third lemma; Hájek representation; independence test; multivariate dependence measure; center-outward ranks and signs (search for similar items in EconPapers)
Pages: 48 p.
Date: 2020-07
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (2)

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