Asymptotic distributions of high-dimensional distance correlation inference

DOI10.1214/20-AOS2024zbMATH Open1486.62050arXiv1910.12970MaRDI QIDQ2054473FDOQ2054473

Authors: Lan Gao, Yingying Fan, Jinchi Lv, Q. M. Shao 

Publication date: 3 December 2021

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: Distance correlation has become an increasingly popular tool for detecting the nonlinear dependence between a pair of potentially high-dimensional random vectors. Most existing works have explored its asymptotic distributions under the null hypothesis of independence between the two random vectors when only the sample size or the dimensionality diverges. Yet its asymptotic null distribution for the more realistic setting when both sample size and dimensionality diverge in the full range remains largely underdeveloped. In this paper, we fill such a gap and develop central limit theorems and associated rates of convergence for a rescaled test statistic based on the bias-corrected distance correlation in high dimensions under some mild regularity conditions and the null hypothesis. Our new theoretical results reveal an interesting phenomenon of blessing of dimensionality for high-dimensional distance correlation inference in the sense that the accuracy of normal approximation can increase with dimensionality. Moreover, we provide a general theory on the power analysis under the alternative hypothesis of dependence, and further justify the capability of the rescaled distance correlation in capturing the pure nonlinear dependency under moderately high dimensionality for a certain type of alternative hypothesis. The theoretical results and finite-sample performance of the rescaled statistic are illustrated with several simulation examples and a blockchain application.

Full work available at URL: https://arxiv.org/abs/1910.12970

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zbMATH Keywords

rate of convergencecentral limit theoremdistance correlationnonparametric inferencehigh dimensionalitytest of independenceblockchainnonlinear dependence detection

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Asymptotic distribution theory in statistics (62E20) Measures of association (correlation, canonical correlation, etc.) (62H20)

Cites Work

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Cited In (14)

• Statistical Inferences for Complex Dependence of Multimodal Imaging Data
• Test for diagonal symmetry in high dimension
• Optimal Nonparametric Inference with Two-Scale Distributional Nearest Neighbors
• Asymptotic normality of Gini correlation in high dimension with applications to the \(K\)-sample problem
• Asymptotic behaviour of the empirical distance covariance for dependent data
• Asymptotic inference for high-dimensional data
• Rank-based indices for testing independence between two high-dimensional vectors
• Asymptotic Distribution-Free Independence Test for High-Dimension Data
• Distance covariance for random fields
• Sliced Independence Test
• Hellinger's distance and correlation for a subclass of stable distributions
• A class of robust independence tests based on weighted integrals of empirical characteristic functions
• Independence tests with random subspace of two random vectors in high dimension
• Asymptotic distribution of the maximum interpoint distance for high-dimensional data

Uses Software

• GeneralisedCovarianceMeasure

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