A test for independence of two multivariate samples |
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Authors: | E M Sukhanova |
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Institution: | (1) Moscow State University, Moscow, Russia |
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Abstract: | The paper presents a new nonparametric test for independence of two vectors. The idea is based on zonotope approach by G.
Koshevoy, H. Oja and others, see 4, 5]. Under the independence hypothesis the test statistic converges in distribution to
the supremum of a certain Gaussian field, and its asymptotic distribution is found using the theory of extrema of random Gaussian
fields developed by V. Piterbarg and Yu. Tyurin, see 6, 8]. In contrast to traditional correlation coefficients the formula
is not symmetric.
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Keywords: | multivariate sample independence test maximum of a Gaussian field |
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