High-dimensional consistent independence testing with maxima of rank correlations

DOI10.1214/19-AOS1926zbMath1461.62078arXiv1812.06189OpenAlexW3111233659MaRDI QIDQ1996766

Fang Han, Hongjian Shi, Mathias Drton

Publication date: 26 February 2021

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1812.06189

zbMATH Keywords

extreme value distributionindependence testrank statisticsdegenerate U-statisticsmaximum-type testrate-optimality

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15) Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistics of extreme values; tail inference (62G32) Large deviations (60F10)

Related Items

The Binary Expansion Randomized Ensemble Test, Max-sum test based on Spearman's footrule for high-dimensional independence tests, Hypothesis Tests for Structured Rank Correlation Matrices, Rank-based indices for testing independence between two high-dimensional vectors, Testing for independence in high dimensions based on empirical copulas, Rank-based max-sum tests for mutual independence of high-dimensional random vectors, Exact detection thresholds and minimax optimality of Chatterjee's correlation coefficient, Counterexamples to the classical central limit theorem for triplewise independent random variables having a common arbitrary margin, On universally consistent and fully distribution-free rank tests of vector independence

Uses Software

• NSM3

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Measuring and testing dependence by correlation of distances
• Large-Sample Theory for the Bergsma-Dassios Sign Covariance
• Central limit theorems for classical likelihood ratio tests for high-dimensional normal distributions
• Tracy-Widom law for the extreme eigenvalues of sample correlation matrices
• Limiting laws of coherence of random matrices with applications to testing covariance structure and construction of compressed sensing matrices
• Limit theorems for \(U\)-processes
• Cramér type moderate deviation theorems for self-normalized processes
• Efficient computation of the Bergsma-Dassios sign covariance
• Corrections to LRT on large-dimensional covariance matrix by RMT
• Two moments suffice for Poisson approximations: The Chen-Stein method
• Uniform rates of convergence in the CLT for quadratic forms in multidimensional spaces
• On Gaussian comparison inequality and its application to spectral analysis of large random matrices
• Testing independence in high dimensions with sums of rank correlations
• The asymptotic distributions of the largest entries of sample correlation matrices.
• Tracy-Widom limit for Kendall's tau
• Optimal hypothesis testing for high dimensional covariance matrices
• Explicit rates of approximation in the CLT for quadratic forms
• A consistent test of independence based on a sign covariance related to Kendall's tau
• Introduction to empirical processes and semiparametric inference
• On measures of association and a related problem
• On some test criteria for covariance matrix
• Equitability, mutual information, and the maximal information coefficient
• Approximation Theorems of Mathematical Statistics
• Testing for complete independence in high dimensions
• Asymptotic distribution of the largest off-diagonal entry of correlation matrices
• Symmetric rank covariances: a generalized framework for nonparametric measures of dependence
• Kernel-Based Tests for Joint Independence
• Two-Sample Covariance Matrix Testing and Support Recovery in High-Dimensional and Sparse Settings
• Testing Mutual Independence in High Dimension via Distance Covariance
• Distribution-free tests of independence in high dimensions
• A Computer Method for Calculating Kendall's Tau with Ungrouped Data
• Distribution Free Tests of Independence Based on the Sample Distribution Function
• High Dimensional Correlation Matrices: The Central Limit Theorem and Its Applications
• A Non-Parametric Test of Independence
• Nonparametric independence testing via mutual information