Asymptotic normality of Gini correlation in high dimension with applications to the K-sample problem

DOI10.1214/23-EJS2165arXiv2203.00081OpenAlexW4388429479MaRDI QIDQ6184886FDOQ6184886

Authors: Yongli Sang, Xin Dang 

Publication date: 5 January 2024

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Abstract: The categorical Gini correlation proposed by Dang et al. is a dependence measure to characterize independence between categorical and numerical variables. The asymptotic distributions of the sample correlation under dependence and independence have been established when the dimension of the numerical variable is fixed. However, its asymptotic behavior for high dimensional data has not been explored. In this paper, we develop the central limit theorem for the Gini correlation in the more realistic setting where the dimensionality of the numerical variable is diverging. We then construct a powerful and consistent test for the $K$-sample problem based on the asymptotic normality. The proposed test not only avoids computation burden but also gains power over the permutation procedure. Simulation studies and real data illustrations show that the proposed test is more competitive to existing methods across a broad range of realistic situations, especially in unbalanced cases.

Full work available at URL: https://arxiv.org/abs/2203.00081

zbMATH Keywords

asymptotic normalitydistance correlationcategorical Gini correlationhigh dimensional \(K\)-sample test

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Hypothesis testing in multivariate analysis (62H15) Measures of association (correlation, canonical correlation, etc.) (62H20)

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Cited In (3)

• Grouped feature screening for ultrahigh-dimensional classification via Gini distance correlation
• Asymptotic normality of a modified estimator of Gini distance correlation
• On the proper bounds of the Gini correlation

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