Test of independence for high-dimensional random vectors based on freeness in block correlation matrices

• Main Authors: Bao, Zhigang, Hu, Jiang, Pan, Guangming, Zhou, Wang
• Other Authors: School of Physical and Mathematical Sciences
• Format: Article
• Language: English
• Published: 2017
• Subjects: Block correlation matrix; Independence test
• Online Access: https://hdl.handle.net/10356/83955; http://hdl.handle.net/10220/42893
• Institution: Nanyang Technological University

In this paper, we are concerned with the independence test for kk high-dimensional sub-vectors of a normal vector, with fixed positive integer kk. A natural high-dimensional extension of the classical sample correlation matrix, namely block correlation matrix, is proposed for this purpose. We then c...