Interpoint-ranking sign covariance for the test of independence

• 成果类型: Article
• 署名作者: Moon, Haeun; Chen, Kehui
• 署名单位: Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh
• 刊物名称: BIOMETRIKA
• ISSN/ISSBN: 0006-3444
• DOI: 10.1093/biomet/asab011
• 发表日期: 2022
• 页码: 165179
• 关键词: association; dependence; survival; POWER

摘要

We generalize the sign covariance introduced by Bergsma & Dassios (2014) to multivariate random variables and beyond. The new interpoint-ranking sign covariance is applicable to general types of random objects as long as a meaningful similarity measure can be defined, and it is shown to be zero if and only if the two random variables are independent. The test statistic is a $U$-statistic, whose large-sample behaviour guarantees that the proposed test is consistent against general types of alternatives. Numerical experiments and data analyses demonstrate the superior empirical performance of the proposed method.