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Some tests of independence based on maximum mean discrepancy and ranks of nearest neighbors

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  • Roy, Angshuman
  • Ghosh, Anil K.

Abstract

We use the ideas of maximum mean discrepancy and ranks of nearest neighbors to propose some tests of independence among multiple random vectors of arbitrary dimensions. Numerical studies demonstrate that proposed tests can outperform the existing tests in various examples.

Suggested Citation

  • Roy, Angshuman & Ghosh, Anil K., 2020. "Some tests of independence based on maximum mean discrepancy and ranks of nearest neighbors," Statistics & Probability Letters, Elsevier, vol. 164(C).
    • Handle: RePEc:eee:stapro:v:164:y:2020:i:c:s0167715220300961
    DOI: 10.1016/j.spl.2020.108793
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    References listed on IDEAS

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    1. Taskinen, Sara & Kankainen, Annaliisa & Oja, Hannu, 2003. "Sign test of independence between two random vectors," Statistics & Probability Letters, Elsevier, vol. 62(1), pages 9-21, March.
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    3. Fan, Yanan & de Micheaux, Pierre Lafaye & Penev, Spiridon & Salopek, Donna, 2017. "Multivariate nonparametric test of independence," Journal of Multivariate Analysis, Elsevier, vol. 153(C), pages 189-210.
    4. Shubhadeep Chakraborty & Xianyang Zhang, 2019. "Distance Metrics for Measuring Joint Dependence with Application to Causal Inference," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 114(528), pages 1638-1650, October.
    5. Taskinen, Sara & Oja, Hannu & Randles, Ronald H., 2005. "Multivariate Nonparametric Tests of Independence," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 916-925, September.
    6. Ruth Heller & Yair Heller & Malka Gorfine, 2013. "A consistent multivariate test of association based on ranks of distances," Biometrika, Biometrika Trust, vol. 100(2), pages 503-510.
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