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

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

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...