Title

A Test For Independence Of Two Sets Of Variables When The Number Of Variables Is Large Relative To The Sample Size

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. © 2008 Elsevier B.V. All rights reserved.

Publication Date

12-1-2008

Publication Title

Statistics and Probability Letters

Volume

78

Issue

17

Number of Pages

3096-3102

Document Type

Article

Personal Identifier

scopus

DOI Link

https://doi.org/10.1016/j.spl.2008.05.031

Socpus ID

54049087729 (Scopus)

Source API URL

https://api.elsevier.com/content/abstract/scopus_id/54049087729

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