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Testing for independence in high dimensions based on empirical copulas

Statistics Theory 2024-09-18 v1 Statistics Theory

Abstract

Testing for pairwise independence for the case where the number of variables may be of the same size or even larger than the sample size has received increasing attention in the recent years. We contribute to this branch of the literature by considering tests that allow to detect higher-order dependencies. The proposed methods are based on connecting the problem to copulas and making use of the Moebius transformation of the empirical copula process; an approach that has already been used successfully for the case where the number of variables is fixed. Based on a martingale central limit theorem, it is shown that respective test statistics converge to the standard normal distribution, allowing for straightforward definition of critical values. The results are illustrated by a Monte Carlo simulation study.

Keywords

Cite

@article{arxiv.2204.01803,
  title  = {Testing for independence in high dimensions based on empirical copulas},
  author = {Axel Bücher and Cambyse Pakzad},
  journal= {arXiv preprint arXiv:2204.01803},
  year   = {2024}
}

Comments

30 pages + 21 pages supplementary material

R2 v1 2026-06-24T10:37:38.438Z