English

High dimensional consistent independence testing with maxima of rank correlations

Statistics Theory 2020-02-06 v2 Statistics Theory

Abstract

Testing mutual independence for high-dimensional observations is a fundamental statistical challenge. Popular tests based on linear and simple rank correlations are known to be incapable of detecting non-linear, non-monotone relationships, calling for methods that can account for such dependences. To address this challenge, we propose a family of tests that are constructed using maxima of pairwise rank correlations that permit consistent assessment of pairwise independence. Built upon a newly developed Cram\'{e}r-type moderate deviation theorem for degenerate U-statistics, our results cover a variety of rank correlations including Hoeffding's DD, Blum-Kiefer-Rosenblatt's RR, and Bergsma-Dassios-Yanagimoto's τ\tau^*. The proposed tests are distribution-free in the class of multivariate distributions with continuous margins, implementable without the need for permutation, and are shown to be rate-optimal against sparse alternatives under the Gaussian copula model. As a by-product of the study, we reveal an identity between the aforementioned three rank correlation statistics, and hence make a step towards proving a conjecture of Bergsma and Dassios.

Keywords

Cite

@article{arxiv.1812.06189,
  title  = {High dimensional consistent independence testing with maxima of rank correlations},
  author = {Mathias Drton and Fang Han and Hongjian Shi},
  journal= {arXiv preprint arXiv:1812.06189},
  year   = {2020}
}

Comments

to appear in the Annals of Statistics

R2 v1 2026-06-23T06:43:11.552Z