High-dimensional consistent independence testing with maxima of rank correlations

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

Mathias Drton, Fang Han, Hongjian Shi

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 distribution; independence test; rank statistics; degenerate U-statistics; maximum-type test; rate-optimality

Mathematics Subject Classification ID

62H15: Hypothesis testing in multivariate analysis

62H20: Measures of association (correlation, canonical correlation, etc.)

62H05: Characterization and structure theory for multivariate probability distributions; copulas

62G32: Statistics of extreme values; tail inference

60F10: Large deviations

Uses Software

• NSM3