Testing for complete independence in high dimensions
Abbreviated Journal Title
high-dimensional data; independence of random variables; Biology; Mathematical & Computational Biology; Statistics & Probability
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.
"Testing for complete independence in high dimensions" (2005). Faculty Bibliography 2000s. 5643.