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Abstract:
There are lots of methods for complete independence test for high-dimensional random vector. However, it is difficult for practitioners to choose a powerful test because the true alternative hypothesis is unknown. Combining the L-2-type with the L-infinity-type test statistic, we propose a rank-based test method. From a technical point of view, the proposed test is distribution-free and consequently the corresponding critical values or p-values can be obtained by Monte Carlo methods. Compared with permutation or bootstrap test methods, the proposed test method saves calculation cost. Simulation results show that the resulting method has excellent performance with finite sample size. We also provide a real data application to demonstrate the practicality and effectiveness of the proposed test method.
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COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION
ISSN: 0361-0918
Year: 2024
0 . 9 0 0
JCR@2022
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ESI Highly Cited Papers on the List: 0 Unfold All
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30 Days PV: 8
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