A consistent multivariate test of association based on ranks of distances

Details A consistent multivariate test of association based on ranks of distances A consistent multivariate test of association based on ranks of distances

2012-01-17

arxiv.org/abs/1201.3522v1

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We are concerned with the problem of detecting whether an associations of any kind exists between random vectors of any dimension. Few tests of independence exist to date that are consistent against all dependent alternatives. We propose a powerful test that is applicable in all dimensions, is robust to outliers, and is consistent against all alternatives. The test has a simple form and is easy to implement. We demonstrate its good power properties in simulations and on an example.

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