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Titel:

Testing independence in high dimensions with sums of rank correlations

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Leung, Dennis; Drton, Mathias
Abstract:
We treat the problem of testing independence between m continuous variables when m can be larger than the available sample size n. We consider three types of test statistics that are constructed as sums or sums of squares of pairwise rank correlations. In the asymptotic regime where both m and n tend to infinity, a martingale central limit theorem is applied to show that the null distributions of these statistics converge to Gaussian limits, which are valid with no specific distributional or mom...     »
Stichworte:
High-dimensional statistics, independence, U-statistics, minimax optimality, rank correlations
Dewey Dezimalklassifikation:
510 Mathematik
Zeitschriftentitel:
The Annals of Statistics
Jahr:
2018
Band / Volume:
46
Jahr / Monat:
2018-02
Quartal:
1. Quartal
Monat:
Feb
Heft / Issue:
1
Seitenangaben Beitrag:
280-307
Sprache:
en
Volltext / DOI:
doi:10.1214/17-aos1550
WWW:
Project Euclid
Verlag / Institution:
Institute of Mathematical Statistics
E-ISSN:
0090-5364
Publikationsdatum:
01.02.2018
Format:
Text
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