Testing for complete independence in high dimensions

    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