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Title:

On universally consistent and fully distribution-free rank tests of vector independence

Document type:
Zeitschriftenaufsatz
Author(s):
Shi, Hongjian; Hallin, Marc; Drton, Mathias; Han, Fang
Abstract:
Rank correlations have found many innovative applications in the last decade. In particular, suitable rank correlations have been used for consistent tests of independence between pairs of random variables. Using 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 con...     »
Keywords:
center-outward ranks and signs, Hájek representation, Independence test, Le Cam’s third lemma, multivariate dependence measure, multivariate ranks and signs
Dewey Decimal Classification:
510 Mathematik
Journal title:
The Annals of Statistics
Year:
2022
Journal volume:
50
Year / month:
2022-08
Quarter:
3. Quartal
Month:
Aug
Journal issue:
4
Pages contribution:
1933-1959
Language:
en
Fulltext / DOI:
doi:10.1214/21-aos2151
WWW:
PROJECTeuclid
Publisher:
Institute of Mathematical Statistics
E-ISSN:
0090-5364
Notes:
published online
Date of publication:
01.08.2022
Semester:
SS 22
TUM Institution:
Lehrstuhl für Mathematische Statistik
Format:
Text
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