Independence test for high dimensional data based on regularized canonical correlation coefficients

This paper proposes a new statistic to test independence between two high dimensional random vectors X:p1×1 and Y:p2×1. The proposed statistic is based on the sum of regularized sample canonical correlation coefficients of X and Y. The asymptotic distribution of the statistic under the null hypothes...

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Bibliographic Details
Main Authors: Yang, Yanrong, Pan, Guangming
Other Authors: School of Physical and Mathematical Sciences
Format: Article
Language:English
Published: 2015
Subjects:
Online Access:https://hdl.handle.net/10356/107196
http://hdl.handle.net/10220/25381
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Institution: Nanyang Technological University
Language: English