A Bayesian nonparametric approach to testing for dependence between random variables

DOI10.1214/16-BA1027MaRDI QIDQ1699695zbMATH OpenFDO

Authors S. Filippi, Chris Holmes

Publication date 23 February 2018

Published in Bayesian Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1506.00829, https://projecteuclid.org/euclid.ba/1474463236

zbMATH Keywords

Bayesian nonparametricshypothesis testingdependence measurePólya tree

Mathematics Subject Classification ID

Bayesian inference (62F15) Nonparametric hypothesis testing (62G10) Bayesian problems; characterization of Bayes procedures (62C10)

Abstract: Nonparametric and nonlinear measures of statistical dependence between pairs of random variables are important tools in modern data analysis. In particular the emergence of large data sets can now support the relaxation of linearity assumptions implicit in traditional association scores such as correlation. Here we describe a Bayesian nonparametric procedure that leads to a tractable, explicit and analytic quantification of the relative evidence for dependence vs independence. Our approach uses Polya tree priors on the space of probability measures which can then be embedded within a decision theoretic test for dependence. Polya tree priors can accommodate known uncertainty in the form of the underlying sampling distribution and provides an explicit posterior probability measure of both dependence and independence. Well known advantages of having an explicit probability measure include: easy comparison of evidence across different studies; encoding prior information; quantifying changes in dependence across different experimental conditions, and; the integration of results within formal decision analysis.

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