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November 2012 Testing independence of random vectors by inverse regressions
Jean Gérard Aghoukeng Jiofack, Guy Martial Nkiet
Afr. Stat. 7(1): 425-440 (November 2012).

Abstract

We propose a new test of independence of random vectors. We first show that the null hypothesis implies the nullity of the trace of an operator involving inverse regressions covariance operators. Then, using an approach based on slicing, we define a test statistic for which an asymptotic distribution under null hypothesis is derived. Simulations that permit to evaluate the performance of the proposed test with comparisons with existing methods are given.

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Jean Gérard Aghoukeng Jiofack. Guy Martial Nkiet. "Testing independence of random vectors by inverse regressions." Afr. Stat. 7 (1) 425 - 440, November 2012.

Information

Published: November 2012
First available in Project Euclid: 1 February 2013

zbMATH: 1258.62064
MathSciNet: MR3034388

Subjects:
Primary: 62H15, 62J02
Secondary: 62E20

Rights: Copyright © 2012 The Statistics and Probability African Society

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Vol.7 • No. 1 • November 2012
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