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Fourier methods for testing multivariate independence

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  • Meintanis, Simos G.
  • Iliopoulos, George

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  • Meintanis, Simos G. & Iliopoulos, George, 2008. "Fourier methods for testing multivariate independence," Computational Statistics & Data Analysis, Elsevier, vol. 52(4), pages 1884-1895, January.
    • Handle: RePEc:eee:csdana:v:52:y:2008:i:4:p:1884-1895
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    References listed on IDEAS

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    1. Yongmiao Hong, 1998. "Testing for pairwise serial independence via the empirical distribution function," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 60(2), pages 429-453.
    2. Richardson, Matthew & Smith, Tom, 1993. "A Test for Multivariate Normality in Stock Returns," The Journal of Business, University of Chicago Press, vol. 66(2), pages 295-321, April.
    3. Bilodeau, M. & Lafaye de Micheaux, P., 2005. "A multivariate empirical characteristic function test of independence with normal marginals," Journal of Multivariate Analysis, Elsevier, vol. 95(2), pages 345-369, August.
    4. Heathcote, C. R. & Rachev, S. T. & Cheng, B., 1995. "Testing Multivariate Symmetry," Journal of Multivariate Analysis, Elsevier, vol. 54(1), pages 91-112, July.
    5. Besbeas, Panagiotis & Morgan, Byron J. T., 2001. "Integrated squared error estimation of Cauchy parameters," Statistics & Probability Letters, Elsevier, vol. 55(4), pages 397-401, December.
    6. Henze, N. & Klar, B. & Meintanis, S. G., 2003. "Invariant tests for symmetry about an unspecified point based on the empirical characteristic function," Journal of Multivariate Analysis, Elsevier, vol. 87(2), pages 275-297, November.
    7. Besbeas, Panagiotis & Morgan, Byron J. T., 2004. "Integrated squared error estimation of normal mixtures," Computational Statistics & Data Analysis, Elsevier, vol. 44(3), pages 517-526, January.
    8. Ghoudi, Kilani & Kulperger, Reg J. & Rémillard, Bruno, 2001. "A Nonparametric Test of Serial Independence for Time Series and Residuals," Journal of Multivariate Analysis, Elsevier, vol. 79(2), pages 191-218, November.
    9. Roch, Oriol & Alegre, Antonio, 2006. "Testing the bivariate distribution of daily equity returns using copulas. An application to the Spanish stock market," Computational Statistics & Data Analysis, Elsevier, vol. 51(2), pages 1312-1329, November.
    10. Jun Yu, 2004. "Empirical Characteristic Function Estimation and Its Applications," Econometric Reviews, Taylor & Francis Journals, vol. 23(2), pages 93-123.
    11. Klar, Bernhard & Meintanis, Simos G., 2005. "Tests for normal mixtures based on the empirical characteristic function," Computational Statistics & Data Analysis, Elsevier, vol. 49(1), pages 227-242, April.
    12. Csörgo, Sándor, 1985. "Testing for independence by the empirical characteristic function," Journal of Multivariate Analysis, Elsevier, vol. 16(3), pages 290-299, June.
    13. Cotterill Derek S. & Csörgö Miklós, 1985. "On The Limiting Distribution Of And Critical Values For The Hoeffding, Blum, Kiefer, Rosenblatt Independence Criterion," Statistics & Risk Modeling, De Gruyter, vol. 3(1-2), pages 1-48, February.
    14. T.W. Epps, 2005. "Tests for location-scale families based on the empirical characteristic function," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 62(1), pages 99-114, September.
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    Cited by:

    1. S Gorsky & L Ma, 2022. "Multi-scale Fisher’s independence test for multivariate dependence [A simple measure of conditional dependence]," Biometrika, Biometrika Trust, vol. 109(3), pages 569-587.
    2. M. D. Jiménez-Gamero & J. L. Moreno-Rebollo & J. A. Mayor-Gallego, 2018. "On the estimation of the characteristic function in finite populations with applications," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 27(1), pages 95-121, March.
    3. L. Baringhaus & D. Kolbe, 2015. "Two-sample tests based on empirical Hankel transforms," Statistical Papers, Springer, vol. 56(3), pages 597-617, August.
    4. Tahani Coolen-Maturi, 2016. "New weighted rank correlation coefficients sensitive to agreement on top and bottom rankings," Journal of Applied Statistics, Taylor & Francis Journals, vol. 43(12), pages 2261-2279, September.
    5. Tahani Coolen-Maturi, 2014. "A new weighted rank coefficient of concordance," Journal of Applied Statistics, Taylor & Francis Journals, vol. 41(8), pages 1721-1745, August.
    6. Hlávka, Zdenek & Husková, Marie & Meintanis, Simos G., 2011. "Tests for independence in non-parametric heteroscedastic regression models," Journal of Multivariate Analysis, Elsevier, vol. 102(4), pages 816-827, April.
    7. Meintanis, Simos G. & Hušková, Marie & Hlávka, Zdeněk, 2022. "Fourier-type tests of mutual independence between functional time series," Journal of Multivariate Analysis, Elsevier, vol. 189(C).
    8. Tarik Bahraoui & Nikolai Kolev, 2021. "New Measure of the Bivariate Asymmetry," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 83(1), pages 421-448, February.
    9. C Genest & J G Nešlehová & B Rémillard & O A Murphy, 2019. "Testing for independence in arbitrary distributions," Biometrika, Biometrika Trust, vol. 106(1), pages 47-68.
    10. Simos G. Meintanis & Joseph Ngatchou-Wandji & James Allison, 2018. "Testing for serial independence in vector autoregressive models," Statistical Papers, Springer, vol. 59(4), pages 1379-1410, December.
    11. Jiménez-Gamero, M.D. & Alba-Fernández, V. & Muñoz-García, J. & Chalco-Cano, Y., 2009. "Goodness-of-fit tests based on empirical characteristic functions," Computational Statistics & Data Analysis, Elsevier, vol. 53(12), pages 3957-3971, October.
    12. 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.
    13. Chen, Feifei & Meintanis, Simos G. & Zhu, Lixing, 2019. "On some characterizations and multidimensional criteria for testing homogeneity, symmetry and independence," Journal of Multivariate Analysis, Elsevier, vol. 173(C), pages 125-144.
    14. Wu, Edmond H.C. & Yu, Philip L.H. & Li, W.K., 2009. "A smoothed bootstrap test for independence based on mutual information," Computational Statistics & Data Analysis, Elsevier, vol. 53(7), pages 2524-2536, May.

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