The asymptotic distribution and Berry-Esseen bound of a new test for independence in high dimension with an application to stochastic optimization

DOI10.1214/08-AAP527MaRDI QIDQ2378634zbMATH OpenOpenAlexFDO

Authors Weidong Liu, Zhengyan Lin, Q. M. Shao

Publication date 13 January 2009

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0901.2468

zbMATH Keywords

Berry-Esseen boundindependence teststochastic optimizationcorrelation matricesextreme distribution

Mathematics Subject Classification ID

Asymptotic properties of parametric tests (62F05) Central limit and other weak theorems (60F05)

Abstract: Let $mathbf{X}_1,\mathrm{...},mathbf{X}_n$ be a random sample from a $p$-dimensional population distribution. Assume that $c_1{n}^{alpha}leqpleq{c}_2{n}^{alpha}$ for some positive constants $c_1,c_2$ and $alpha$. In this paper we introduce a new statistic for testing independence of the $p$-variates of the population and prove that the limiting distribution is the extreme distribution of type I with a rate of convergence $O((logn{)}^{5/2}/sqrtn)$. This is much faster than $O(1/logn)$, a typical convergence rate for this type of extreme distribution. A simulation study and application to stochastic optimization are discussed.

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Cited in

(42)

• On Jiang's asymptotic distribution of the largest entry of a sample correlation matrix
• Central limit theorems for classical likelihood ratio tests for high-dimensional normal distributions
• Power enhancement for testing multi-factor asset pricing models via Fisher's method
• Testing independence with high-dimensional correlated samples
• A test for the identity of a high-dimensional correlation matrix based on the \(\ell_4\)-norm
• Testing independence in high dimensions with sums of rank correlations
• Joint test for homogeneity of high-dimensional means and covariance matrices using maximum-type statistics
• Largest entries of sample correlation matrices from equi-correlated normal populations
• Limiting laws of coherence of random matrices with applications to testing covariance structure and construction of compressed sensing matrices
• Asymptotic theory for maximum deviations of sample covariance matrix estimates
• Testing and support recovery of multiple high-dimensional covariance matrices with false discovery rate control
• A Darling-Erdős type result for stationary ellipsoids
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• Test for bandedness of high-dimensional covariance matrices and bandwidth estimation
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• On high-dimensional tests for mutual independence based on Pearson's correlation coefficient
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• High-dimensional sparse MANOVA
• Global one-sample tests for high-dimensional covariance matrices
• A Cramér moderate deviation theorem for Hotelling's \(T^{2}\)-statistic with applications to global tests
• The Berry-Esseen bound for \(\rho\)-mixing random variables and its applications in nonparametric regression model
• Asymptotic distribution of the maximum interpoint distance for high-dimensional data
• Logarithmic law of large random correlation matrices
• Limiting behavior of largest entry of random tensor constructed by high-dimensional data
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• Two-Sample Covariance Matrix Testing and Support Recovery in High-Dimensional and Sparse Settings
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• Rank-based max-sum tests for mutual independence of high-dimensional random vectors

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