Asymptotic power of Rao's score test for independence in high dimensions

DOI10.3150/17-BEJ985MaRDI QIDQ1715529zbMATH OpenOpenAlexWikidataFDO

Authors Erdal Karapınar

Publication date 28 January 2019

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1701.07249, https://projecteuclid.org/euclid.bj/1544605246

zbMATH Keywords

Frobenius normhigh dimensionalityminimax optimalityPearson correlationpowerRao's score

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15) Measures of association (correlation, canonical correlation, etc.) (62H20)

Abstract: Let $$ be the Pearson correlation matrix of $m$ normal random variables. The Rao's score test for the independence hypothesis $$, where $$ is the identity matrix of dimension $m$, was first considered by Schott (2005) in the high dimensional setting. In this paper, we study the asymptotic minimax power function of this test, under an asymptotic regime in which both $m$ and the sample size $n$ tend to infinity with the ratio $m/n$ upper bounded by a constant. In particular, our result implies that the Rao's score test is rate-optimal for detecting the dependency signal $$ of order $sqrtm/n$, where $|cdot{|}_F$ is the matrix Frobenius norm.

Recommendations

• Testing independence with high-dimensional correlated samples
• Testing independence in high dimensions with sums of rank correlations
• On Schott's and Mao's test statistics for independence of normal random vectors
• A hypothesis test for independence of sets of variates in high dimensions
• On high-dimensional tests for mutual independence based on Pearson's correlation coefficient

Cites work

• A Class of Statistics with Asymptotically Normal Distribution
• Asymptotic distribution of the largest off-diagonal entry of correlation matrices
• Berry-Esseen inequality for unbounded exchangeable pairs
• Comparison and anti-concentration bounds for maxima of Gaussian random vectors
• scientific article; zbMATH DE number 1964693 (Why is no real title available?)
• scientific article; zbMATH DE number 3083049 (Why is no real title available?)
• Likelihood ratio tests for high-dimensional normal distributions
• Limiting laws of coherence of random matrices with applications to testing covariance structure and construction of compressed sensing matrices
• Necessary and sufficient conditions for the asymptotic distribution of the largest entry of a sample correlation matrix
• On Jiang's asymptotic distribution of the largest entry of a sample correlation matrix
• On the Departure from Normality of a Certain Class of Martingales
• Optimal hypothesis testing for high dimensional covariance matrices
• Regularized estimation of large covariance matrices
• Testing for complete independence in high dimensions
• Testing independence in high dimensions with sums of rank correlations
• The asymptotic distribution and Berry-Esseen bound of a new test for independence in high dimension with an application to stochastic optimization
• The asymptotic distributions of the largest entries of sample correlation matrices.
• Weak convergence and empirical processes. With applications to statistics

Cited in

(2)

• Rao score tests for goodness of fit and independence
• Distance correlation test for high-dimensional independence

This page was built for publication: Asymptotic power of Rao's score test for independence in high dimensions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1715529)