Testing for independence by the empirical characteristic function

empirical characteristic function empirical independence process Gaussian process hypothesis of total independence marginal empirical characteristic function maximum variance quadratic form weak convergence

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Functional limit theorems; invariance principles (60F17) Asymptotic distribution theory in statistics (62E20) Nonparametric hypothesis testing (62G10) Hypothesis testing in multivariate analysis (62H15)

Review text

Let \(C(t_ 1,...,t_ p)\) be the characteristic function of a p-variate distribution F(x) and let \(C_{[k]}(t_ k)=C(\underline 0,t_ k,\underline 0)\) be its k th marginal characteristic function. Then the hypothesis of total independence of p components can be expressed as \(H_ 0: C(t_ 1,...,t_ p)=\prod^{p}_{k=1}C_{[k]}(t_ k).\) Let \(C_ n(t)\) for \(t\in R^ p\) be the empirical characteristic function based on a random sample \(X_ 1,...,X_ n\) from F(x) and let \(C_{n[k]}(t_ k)\) be its k th marginal empirical characteristic function. The author gives a necessary and sufficient condition for the weak convergence of the process, under \(H_ 0\), \[ S_ n(t)=n^{1/2}\{C_ n(t)-\prod^{p}_{k=1}C_{n[k]}(t_ k)\}\equiv S_ n^{(\quad 1)}(t)+iS_ n^{(2)}(t) \] to a Gaussian process in a space of continuous functions on a compact set in \(R^ p\). Then he gives a sufficient condition for the weak convergence of a quadratic form based on \(S_ n^{(1)}(t^{(n)})\) and \(S_ n^{(2)}(t^{(n)})\) to the \(\chi^ 2_ 2\)-distribution under \(H_ 0\) where \(t^{(n)}\) is an estimate of \(t^ 0\) that maximizes the total variance function of the limiting Gaussian process on a given compact set.

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