期刊
JOURNAL OF MULTIVARIATE ANALYSIS
卷 121, 期 -, 页码 224-232出版社
ELSEVIER INC
DOI: 10.1016/j.jmva.2013.05.014
关键词
Asymptotic normality; Complete independence; High-dimensional problem; Necessary tests; Spearman's rank-correlation
资金
- NNSF of China [11101306, 11001138, 11071128, 11131002, 70931004]
- RFDP of China [20110031110002]
- Fundamental Research Funds for the Central Universities
- Foundation for the Author of National Excellent Doctoral Dissertation of PR China [H0512101]
- New Century Excellent Talents in University
We propose a nonparametric necessary test for the complete independence of random variables in high-dimensional environment. The test is constructed based on Spearman's rank-correlations and is shown to be asymptotically normal by the martingale central limit theorem as both the sample size and the dimension of variables go to infinity. Simulation studies show that the proposed test works well in finite-sample situations. (C) 2013 Elsevier Inc. All rights reserved.
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