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Title:

High-dimensional consistent independence testing with maxima of rank correlations

Document type:
Zeitschriftenaufsatz
Author(s):
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...     »
Keywords:
Degenerate U-statistics, extreme value distribution, independence test, maximum-type test, rank statistics, rate-optimality
Dewey Decimal Classification:
510 Mathematik
Journal title:
Annals of Statistics
Year:
2020
Journal volume:
48
Year / month:
2020-12
Quarter:
4. Quartal
Month:
Dec
Journal issue:
6
Pages contribution:
3206-3227
Language:
en
Fulltext / DOI:
doi:10.1214/19-aos1926
Publisher:
Institute of Mathematical Statistics
E-ISSN:
0090-5364
Notes:
First available in Project Euclid: 11 December 2020
Date of publication:
01.12.2020
Semester:
WS 20-21
TUM Institution:
Lehrstuhl für Mathematische Statistik
Format:
Text
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