Title

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

Authors

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

3096

Last Page

3102

WOS Identifier

WOS:000261358700042

ISSN

0167-7152

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