UCL logo

UCL Discovery

UCL home » Library Services » Electronic resources » UCL Discovery

Consistent nonparametric tests of independence

Gretton, A; Györfi, L; (2010) Consistent nonparametric tests of independence.

Full text not available from this repository.

Abstract

Three simple and explicit procedures for testing the independence of two multi-dimensional random variables are described. Two of the associated test statistics (L 1 , log-likelihood) are defined when the empirical distribution of the variables is restricted to finite partitions. A third test statistic is defined as a kernel-based independence measure. Two kinds of tests are provided. Distributionfree strong consistent tests are derived on the basis of large deviation bounds on the test statistics: these tests make almost surely no Type 1 or Type II error after a random sample size. Asymptotically α-level tests are obtained from the limiting distribution of the test statistics. For the latter tests, the Type I error converges to a fixed non-zero value a, and the Type II error drops to zero, for increasing sample size. All tests reject the null hypothesis of independence if the test statistics become large. The performance of the tests is evaluated experimentally on benchmark data. © 2010 Arthur Gretton and László Györfi.

Type: Report
Title: Consistent nonparametric tests of independence
URI: http://discovery.ucl.ac.uk/id/eprint/1334303
Downloads since deposit
0Downloads
Download activity - last month
Download activity - last 12 months
Downloads by country - last 12 months

Archive Staff Only

View Item View Item