Title

Testing for complete independence in high dimensions

Authors

Authors

J. R. Schott

Comments

Authors: contact us about adding a copy of your work at STARS@ucf.edu

Abbreviated Journal Title

Biometrika

Keywords

high-dimensional data; independence of random variables; Biology; Mathematical & Computational Biology; Statistics & Probability

Abstract

A simple statistic is proposed for testing the complete independence of random variables having a multivariate normal distribution. The asymptotic null distribution of this statistic, as both the sample size and the number of variables go to infinity, is shown to be normal. Consequently, this test can be used when the number of variables is not small relative to the sample size and, in particular, even when the number of variables exceeds the sample size. The finite sample size performance of the normal approximation is evaluated in a simulation study and the results are compared to those of the likelihood ratio test.

Journal Title

Biometrika

Volume

92

Issue/Number

4

Publication Date

1-1-2005

Document Type

Article

Language

English

First Page

951

Last Page

956

WOS Identifier

WOS:000233399800015

ISSN

0006-3444

Share

COinS