An extremal problem with applications to the problem of testing multivariate independence

DOI10.1080/10485252.2011.603831MaRDI QIDQ2892913zbMATH OpenOpenAlexFDO

Authors Natalia Stepanova, A. I. Nazarov

Publication date 25 June 2012

Published in Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1012.0837

zbMATH Keywords

asymptotic efficiency of test statisticsboundary-value problemGreen functionlocal asymptotic optimality

Mathematics Subject Classification ID

PDEs in connection with statistics (35Q62) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Hypothesis testing in multivariate analysis (62H15) Measures of association (correlation, canonical correlation, etc.) (62H20)

Abstract: Some problems of statistics can be reduced to extremal problems of minimizing functionals of smooth functions defined on the cube $[0,1{]}^m$, $mgeq2$. In this paper, we study a class of extremal problems that is closely connected to the problem of testing multivariate independence. By solving the extremal problem, we provide a unified approach to establishing weak convergence for a wide class of empirical processes which emerge in connection with testing independence. The use of our result is also illustrated by describing the domain of local asymptotic optimality of some nonparametric tests of independence.

Recommendations

• Some new multivariate tests of independence
• Adaptive minimax test of independence
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• Asymptotically minimax test of independence
• Multivariate nonparametric test of independence

Cites work

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Cited in

(5)

• Asymptotic independence and perfect dependence of vector components of multivariate extreme statistics
• Toward the history of the St. Petersburg school of probability and statistics. IV: Characterization of distributions and limit theorems in statistics
• The asymptotic distribution and Berry-Esseen bound of a new test for independence in high dimension with an application to stochastic optimization
• scientific article; zbMATH DE number 1820147 (Why is no real title available?)
• Extremal problems for hypotheses testing with set-valued decisions

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