A test for independence of two sets of variables when the number of variables is large relative to the sample size

    Authors

    J. R. Schott

    Comments

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    Abstract

    A simple statistic is proposed for testing the independence of two subvectors of a random vector having a multivariate normal distribution. The asymptotic null distribution of this statistic. as both the sample size and the number of variables in the random vector go to infinity, is shown to be normal. Some simulation results are obtained so as to assess the adequacy of the normal approximation and to compare the performance of this new test to that of the likelihood ratio test. (C) 2008 Elsevier B.V. All rights reserved.

    Journal Title

    Statistics & Probability Letters

    Volume

    78

    Issue/Number

    17

    Publication Date

    1-1-2008

    Document Type

    Article

    First Page

    2997

    Last Page

    2999

    WOS Identifier

    WOS:000261358700026

    ISSN

    0167-7152

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