High-dimensional consistent independence testing with maxima of rank correlations
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degenerate U-statisticsextreme value distributionindependence testmaximum-type testrank statisticsrate-optimality
Large deviations (60F10) Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Hypothesis testing in multivariate analysis (62H15) Measures of association (correlation, canonical correlation, etc.) (62H20)
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 non-linear, non-monotone 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 developed Cram'{e}r-type moderate deviation theorem for degenerate U-statistics, our results cover a variety of rank correlations including Hoeffding's , Blum-Kiefer-Rosenblatt's , and Bergsma-Dassios-Yanagimoto's . The proposed tests are distribution-free in the class of multivariate distributions with continuous margins, implementable without the need for permutation, and are shown to be rate-optimal against sparse alternatives under the Gaussian copula model. As a by-product of the study, we reveal an identity between the aforementioned three rank correlation statistics, and hence make a step towards proving a conjecture of Bergsma and Dassios.
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Cited in
(34)- Testing independence in high dimensions with sums of rank correlations
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