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Titel:

High-dimensional consistent independence testing with maxima of rank correlations

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Drton, Mathias; Han, Fang; Shi, Hongjian
Abstract:
Testing mutual independence for high-dimensional observations is a fundamental statistical challenge. Popular tests based on linear and simple rank correlations are known to be incapable of detecting nonlinear, nonmonotone relationships, calling for methods that can account for such dependences. To address this challenge, we propose a family of tests that are constructed using maxima of pairwise rank correlations that permit consistent assessment of pairwise independence. Built upon a newly deve...     »
Stichworte:
Degenerate U-statistics, extreme value distribution, independence test, maximum-type test, rank statistics, rate-optimality
Dewey Dezimalklassifikation:
510 Mathematik
Zeitschriftentitel:
Annals of Statistics
Jahr:
2020
Band / Volume:
48
Jahr / Monat:
2020-12
Quartal:
4. Quartal
Monat:
Dec
Heft / Issue:
6
Seitenangaben Beitrag:
3206-3227
Sprache:
en
Volltext / DOI:
doi:10.1214/19-aos1926
Verlag / Institution:
Institute of Mathematical Statistics
E-ISSN:
0090-5364
Hinweise:
First available in Project Euclid: 11 December 2020
Publikationsdatum:
01.12.2020
Semester:
WS 20-21
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik
Format:
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