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A new test of independence for bivariate observations

Author

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  • Bagkavos, D.
  • Patil, P.N.

Abstract

This research contributes a new methodological advance on bivariate independence hypothesis testing. It is based on the property that under independence, every quantile of Y given X=x is constant. Apart from the asymptotic distributions of the test statistic under the null and alternative hypotheses, this work establishes their first order Edgeworth expansion. This is used to construct a bandwidth selection rule, designed to maximize power while the size is controlled by a given significance level. Finally, numerical evidence is given on the test’s benefits against standard independence tests, frequently encountered in the literature.

Suggested Citation

  • Bagkavos, D. & Patil, P.N., 2017. "A new test of independence for bivariate observations," Journal of Multivariate Analysis, Elsevier, vol. 160(C), pages 117-133.
    • Handle: RePEc:eee:jmvana:v:160:y:2017:i:c:p:117-133
    DOI: 10.1016/j.jmva.2017.06.004
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    References listed on IDEAS

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    1. Gao, Jiti & Gijbels, Irène, 2008. "Bandwidth Selection in Nonparametric Kernel Testing," Journal of the American Statistical Association, American Statistical Association, vol. 103(484), pages 1584-1594.
    2. Einmahl, J.H.J. & McKeague, I.W., 2002. "Empirical Likelihood based on Hypothesis Testing," Other publications TiSEM 402576fa-8c0e-45e2-a394-8, Tilburg University, School of Economics and Management.
    3. Rosenblatt, Murray & Wahlen, Bruce E., 1992. "A nonparametric measure of independence under a hypothesis of independent components," Statistics & Probability Letters, Elsevier, vol. 15(3), pages 245-252, October.
    4. Genest, Christian & Quessy, Jean-François & Rémillard, Bruno, 2006. "Local efficiency of a Cramer-von Mises test of independence," Journal of Multivariate Analysis, Elsevier, vol. 97(1), pages 274-294, January.
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    Cited by:

    1. Ćmiel, Bogdan & Ledwina, Teresa, 2020. "Validation of association," Insurance: Mathematics and Economics, Elsevier, vol. 91(C), pages 55-67.

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