Title

Miscellanea: Testing For Complete Independence In High Dimensions

Keywords

High-dimensional data; Independence of random variables

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. © 2005 Biometrika Trust.

Publication Date

12-1-2005

Publication Title

Biometrika

Volume

92

Issue

4

Number of Pages

951-956

Document Type

Article

Personal Identifier

scopus

DOI Link

https://doi.org/10.1093/biomet/92.4.951

Socpus ID

27944479075 (Scopus)

Source API URL

https://api.elsevier.com/content/abstract/scopus_id/27944479075

This document is currently not available here.

Share

COinS